Browsing by Author "Banerjee, Ameet Kumar"

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    Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period
    (2023-10-30) Banerjee, Ameet Kumar; Şensoy, Ahmet; Goodell, John W.; Mahapatra, Biplab
    We investigate the reactions of eight commodity futures to media hype and fake news during COVID-19, utilising the Ravenpack news database, along with deep learning algorithms. Results identify a significant impact on commodity prices of media hype and fake news, with this reaction amplified during COVID-19. Compared to alternative deep learning algorithms, bi-directional long-short-term memory is adaptive to forecasting the returns of the commodity futures contracts with lower mean absolute error and root mean square error. Findings, confirmed by Diebold-Mariano testing, as well as alternative data partitioning, show commodity markets are susceptible to fake news and media hype.
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    Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment
    (Elsevier, 2022-12) Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Dionisio, Andreia; Almeida, Dora; Sensoy, Ahmet
    The paper examines how various COVID-19 news sentiments differentially impact the behaviour of cryptocurrency returns. We used a nonlinear technique of transfer entropy to investigate the relationship between the top 30 cryptocurrencies by market capitalisation and COVID-19 news sentiment. Results show that COVID-19 news sentiment influences cryptocurrency returns. The nexus is unidirectional from news sentiment to cryptocurrency returns, in contrast to past findings. These results have practical implications for policymakers and market participants in understanding cryptocurrency market dynamics under extremely stressful market conditions.