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Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors
Author(s) -
Liu Yang,
Han Liyan,
Yin Libo
Publication year - 2018
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21916
Subject(s) - futures contract , volatility (finance) , futures market , economics , financial economics , spread trade , energy (signal processing) , commodity , intermediary , econometrics , monetary economics , finance , institutional investor , corporate governance , open end fund , statistics , mathematics
This study investigates the impact of news implied volatility (NVIX) and its two sub‐components (news about stock markets, SMI, and news about banks and other financial intermediaries, FII) on the long‐term volatilities of commodity futures. Our empirical results clearly show that NVIX behaves heterogeneously in energy and non‐energy sectors. NVIX exerts a positively significant influence on volatilities of non‐energy futures. By contrast, volatilities of energy futures cannot be triggered by NVIX. We further show that SMI significantly affects both energy and non‐energy futures, whereas, FII only impacts non‐energy futures.