Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    News Sentiment in the Gold Futures Market

    203538_203538.pdf (1.062Mb)
    Access Status
    Open access
    Authors
    Smales, Lee
    Date
    2014
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Smales, L. 2014. News Sentiment in the Gold Futures Market. Journal of Banking and Finance. 49: pp. 275-286.
    Source Title
    Journal of Banking and Finance
    DOI
    10.1016/j.jbankfin.2014.09.006
    ISSN
    0378-4266
    School
    School of Economics and Finance
    Remarks

    NOTICE: this is the author’s version of a work that was accepted for publication in the Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, Vol.49, (2014)]. DOI: 10.1016/j.jbankfin.2014.09.006

    URI
    http://hdl.handle.net/20.500.11937/15771
    Collection
    • Curtin Research Publications
    Abstract

    This article utilises commodity specific news sentiment data provided by Thomson Reuters News Analytics to examine the relationship between news sentiment and returns in the gold futures market over the period 2003–2012. There is an asymmetric response to news releases with negative news sentiment invoking a greater contemporaneous response in returns of gold futures. There is evidence to support the supposition that net trader positions significantly impact the identified sentiment relationship with the effect greatest when traders are holding positions contrary to their natural position; this may be explained by constraints imposed on traders in terms of credit availability, exchange imposed limits, or inventory required for physical settlement. Recession, and associated changes in credit costs, impact the size of net positions and the news sentiment/return relationship.

    Related items

    Showing items related by title, author, creator and subject.

    • Behaviour and performance of key market players in the US futures markets
      Gurrib, Muhammad Ikhlaas (2008)
      This study gives an insight into the behaviour and performance of large speculators and large hedgers in 29 US futures markets. Using a trading determinant model and priced risk factors such as net positions and sentiment ...
    • Time-varying relationship of news sentiment, implied volatility and stock returns
      Smales, Lee (2016)
      I examine the relationship between aggregate news sentiment, S&P 500 index (SPX) returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in ...
    • News sentiment and bank credit risk
      Smales, Lee (2016)
      This article seeks to consider the relationship between the sentiment of newswire messages for a set of major international banks and changes in two important credit measures; the LIBOR-OIS spread and the CDS spread. There ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.