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Media emotion intensity and commodity futures pricing

Author

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  • Chi, Yeguang
  • El-Jahel, Lina
  • Vu, Thanh

Abstract

This study investigates the impact of media emotion intensity on commodities futures returns. Emotion intensity measures the proportion of emotional content relative to factual content in media news. The media emotion intensity factor generates an annual premium of 13% after transaction cost. This premium is more pronounced for commodities with low media coverage, high momentum, high basis-momentum, high hedging pressure, and backwardation. Emotion intensity significantly predicts the trading tendencies of both commercial and non-commercial traders and the cross-section of commodity futures returns at both portfolio and individual levels. We also find that media emotion intensity predicts future commodities’ sentiment. Further, other commonly considered risk sources cannot subsume the predictability of the media emotion intensity factor.

Suggested Citation

  • Chi, Yeguang & El-Jahel, Lina & Vu, Thanh, 2025. "Media emotion intensity and commodity futures pricing," Journal of Commodity Markets, Elsevier, vol. 37(C).
    • Handle: RePEc:eee:jocoma:v:37:y:2025:i:c:s2405851325000042
    DOI: 10.1016/j.jcomm.2025.100460
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    Keywords

    Commodity futures; Media emotion intensity; Asset return;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G40 - Financial Economics - - Behavioral Finance - - - General

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