2026-09-22T04:13:19Z https://www.ideals.illinois.edu/oai-pmh

oai:www.ideals.illinois.edu:2142/129320 2025-10-20 col_2142_5131 col_2142_13851 com_2142_5130 com_2142_684 com_2142_397

application/pdf en text Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2025-10-19 without embargo terms The student, Massab Qayum, accepted the attached license on 2025-05-05 at 10:13. The student, Massab Qayum, submitted this Thesis for approval on 2025-05-05 at 10:20. This Thesis was approved for publication on 2025-05-07 at 10:06. DSpace SAF Submission Ingestion Package generated from Vireo submission #22204 on 2025-10-19 at 18:12:32 A sentiment-based approach to convenience yield dynamics in commodity futures markets Qayum, Massab 2025-05-07 Janzen, Joseph P. Hutchins, Jared Devesa, Maria Teresa Serra Convenience Yield Commodity Futures Sentiment eng Convenience yield acts as a negative cost (i.e. benefit) of holding a physical commodity and causes inverted markets or backwardation. The theory of storage relies on convenience yield to explain these backwardations through the 'Working Curve,' which has been empirically documented for storable commodities using annual stocks data. However, the intra-year dynamics of convenience yield is difficult to explore using annual inventories data. This study introduces a novel approach to analyzing convenience yield dynamics in commodity markets by leveraging sentiment analysis, enabling a more granular understanding of convenience yield dynamics in corn and soybean markets. The research questions we are trying to answer are twofold: how forward-looking and efficient is the information captured from news sentiment for storable commodity prices, and can it help explain convenience yield dynamics in these markets? The Global News Index developed by the Cline Center for Advanced Social Research at the University of Illinois is used to track global news attention to commodity markets. Futures prices and implied volatilities for corn and soybean are extracted from Bloomberg. The results from structural VAR show significant, immediate, and consistent negative responses in the implied volatilities to news sentiment shocks. No significant, immediate, and consistent responses are observed in convenience yield. Implied volatility tends to respond negatively by 0.5 to 1.5 percentage points to shocks in news sentiment, specifically in financial and soybean-specific news shocks. In conclusion, news sentiment does not provide forward-looking information regarding convenience yield dynamics but provides some information regarding price uncertainty 1-3 months ahead. 2025-05 Text https://hdl.handle.net/2142/129320 Copyright 2025 Massab Qayum Agr & Consumer Economics Agricultural & Applied Econ University of Illinois Urbana-Champaign M.S. Thesis