Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors
研究了新闻隐含波动率及其子成分对商品期货长期波动率的影响，发现其对能源和非能源期货的影响存在显著异质性。
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.