How Web News Media Impact Futures Market Price Linkage?

This paper presents the media factor, which reflects the non-fundamentals of information. As taken gold futures as example, we focus on the analysis of futures market price linkage model based on web news media. Firstly, we define the media factor in three-dimensional vector, including news number index, news length index and pessimism index, and find that it has great impact on information transmission mechanism between COMEX and SHFE, through guiding investor future sentiment. We further find that the pessimistic emotion impact on investors more strongly, which consistent with theoretical of noise traders. Secondly, the media factor embodied by the U.S media has greater influence on SHFE than COMEX. However, Chinese media does not have an extensive influence around the world, but its influences on trading volume and returns in SHFE are significant. Finally, we found that the gold futures returns in COMEX have a certain influence on Chinese media factor.