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Asymmetric volatility response to news sentiment in gold futures

Citations

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Cited by:

  1. Ali M. Kutan & Mehmet E. Yaya, 2016. "Armed conflict and financial and economic risk: evidence from Colombia," Risk Management, Palgrave Macmillan, vol. 18(2), pages 159-187, August.
  2. Tim Leung & Brian Ward, 2015. "The golden target: analyzing the tracking performance of leveraged gold ETFs," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(3), pages 278-297, August.
  3. Osamah Al-Khazali & Elie Bouri & David Roubaud, 2018. "The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin," Economics Bulletin, AccessEcon, vol. 38(1), pages 373-382.
  4. Akihiro Omura & Neda Todorova, 2019. "The quantile dependence of commodity futures markets on news sentiment," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 818-837, July.
  5. Brandt, Michael W. & Gao, Lin, 2019. "Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 64-94.
  6. Smales, Lee A. & Yang, Yi, 2015. "The importance of belief dispersion in the response of gold futures to macroeconomic announcements," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 292-302.
  7. Semeyutin, Artur & Gozgor, Giray & Lau, Chi Keung Marco & Xu, Bing, 2021. "Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets," Energy Economics, Elsevier, vol. 104(C).
  8. Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wu, Chih-Chiang, 2018. "Investor sentiment and evaporating liquidity during the financial crisis," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 21-36.
  9. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2017. "Asymmetry in spillover effects: Evidence for international stock index futures markets," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 94-111.
  10. Maghyereh, Aktham & Abdoh, Hussein, 2020. "The tail dependence structure between investor sentiment and commodity markets," Resources Policy, Elsevier, vol. 68(C).
  11. Stephen Kawas & Everton Dockery, 2023. "What do we know about the stock markets’ reaction to regulatory announcements regarding financial institutions? Evidence from UK financial institutions," Review of Quantitative Finance and Accounting, Springer, vol. 60(1), pages 31-67, January.
  12. Martin Hoesli & Stanimira Milcheva & Alex Moss, 2020. "Is Financial Regulation Good or Bad for Real Estate Companies? – An Event Study," The Journal of Real Estate Finance and Economics, Springer, vol. 61(3), pages 369-407, October.
  13. Tarek Chebbi, 2021. "The response of precious metal futures markets to unconventional monetary surprises in the presence of uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1897-1916, April.
  14. Gupta, Kartick & Banerjee, Rajabrata, 2019. "Does OPEC news sentiment influence stock returns of energy firms in the United States?," Energy Economics, Elsevier, vol. 77(C), pages 34-45.
  15. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
  16. Zhang, Hongwei & Hong, Huojun & Guo, Yaoqi & Yang, Cai, 2022. "Information spillover effects from media coverage to the crude oil, gold, and Bitcoin markets during the COVID-19 pandemic: Evidence from the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 267-285.
  17. Khuu, Joyce & Durand, Robert B. & Smales, Lee A., 2016. "Melancholia and Japanese stock returns – 2003 to 2012," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 424-437.
  18. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
  19. Chi-Wei Su & Xu-Yu Cai & Ran Tao, 2020. "Can Stock Investor Sentiment Be Contagious in China?," Sustainability, MDPI, vol. 12(4), pages 1-16, February.
  20. Aktham Maghyereh & Hussein Abdoh, 2022. "Can news-based economic sentiment predict bubbles in precious metal markets?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-29, December.
  21. Danilo Vassallo & Giacomo Bormetti & Fabrizio Lillo, 2019. "A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics," Papers 1910.01407, arXiv.org, revised Sep 2020.
  22. Hoang‐Long Phan & Ralf Zurbruegg, 2020. "The time‐to‐maturity pattern of futures price sensitivity to news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 126-144, January.
  23. Charteris, Ailie & Kallinterakis, Vasileios, 2021. "Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market," International Review of Financial Analysis, Elsevier, vol. 75(C).
  24. Kin‐Yip Ho & Kun Tracy Wang & Wanbin Walter Wang, 2023. "A novel approach to portfolio selection using news volume and sentiment," International Review of Finance, International Review of Finance Ltd., vol. 23(4), pages 903-917, December.
  25. Fasanya, Ismail & Adekoya, Oluwasegun & Oyewole, Oluwatomisin & Adegboyega, Soliu, 2022. "Investor sentiment and energy futures predictability: Evidence from Feasible Quasi Generalized Least Squares," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  26. Kao, Yu-Sheng & Day, Min-Yuh & Chou, Ke-Hsin, 2024. "A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  27. Beladi, Hamid & Trinh, Cong Tam & Chao, Chi-Chur, 2023. "Gold prices, cultural factors, and Covid-19 pandemic: An international analysis," Research in International Business and Finance, Elsevier, vol. 66(C).
  28. Sobti, Neharika & Sehgal, Sanjay & Ilango, Balakrishnan, 2021. "How do macroeconomic news surprises affect round-the-clock price discovery of gold?," International Review of Financial Analysis, Elsevier, vol. 78(C).
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