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News-driven bubbles in futures markets

Heng-Guo Zhang & Tailong Li

Journal of Energy Markets2023https://doi.org/10.21314/jem.2023.025article
AJG 1
Weight
0.47

What the paper says

This paper proposes a model to study the relationship between news-driven trade war expectations and bubbles. When trade war expectations, policy news, trading volume and cashflow have a positive causal effect on asset prices at the same time, bubbles often occur. When these four factors have a negative causal effect on asset prices at the same time, there are often no bubbles. When the four factors have both positive and negative causal effects on asset prices, investors create their demand for a risk asset and exhibit signs of wavering. Several crude oil futures in China’s futures market have experienced bubbles during the same time period. This outcome shows that China’s crude oil futures market is greatly affected by trade war news information and news-driven trade war expectations.

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https://doi.org/https://doi.org/10.21314/jem.2023.025

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@article{heng-guo2023,
  title        = {{News-driven bubbles in futures markets}},
  author       = {Heng-Guo Zhang & Tailong Li},
  journal      = {Journal of Energy Markets},
  year         = {2023},
  doi          = {https://doi.org/https://doi.org/10.21314/jem.2023.025},
}

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News-driven bubbles in futures markets

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Evidence weight

0.47

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.32 × 0.4 = 0.13
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.