spb/phd_thesis Public

1\begin{thebibliography}{}23\bibitem[\protect\citeauthoryear{Ackert and Tian}{Ackert and4  Tian}{2000}]{ackert2000arbitrage}5Ackert, L.~F. and Y.~S. Tian (2000).6\newblock Arbitrage and valuation in the market for {S}tandard \& {P}oor's7  depositary receipts.8\newblock {\em Financial Management\/}~{\em 29\/}(3), 71--87.910\bibitem[\protect\citeauthoryear{Alquist and Gervais}{Alquist and11  Gervais}{2013}]{alquist2013role}12Alquist, R. and O.~Gervais (2013).13\newblock The role of financial speculation in driving the price of crude oil.14\newblock {\em The Energy Journal\/}~{\em 34\/}(3), 35--54.1516\bibitem[\protect\citeauthoryear{Andersen and Bollerslev}{Andersen and17  Bollerslev}{1997}]{andersen1997}18Andersen, T.~G. and T.~Bollerslev (1997).19\newblock Intraday periodicity and volatility persistence in financial markets.20\newblock {\em Journal of Empirical Finance\/}~{\em 4\/}(2--3), 115--158.2122\bibitem[\protect\citeauthoryear{Andersen and Bollerslev}{Andersen and23  Bollerslev}{1998}]{andersen1998deutsche}24Andersen, T.~G. and T.~Bollerslev (1998).25\newblock Deutsche mark--dollar volatility: Intraday activity patterns,26  macroeconomic announcements, and longer run dependencies.27\newblock {\em Journal of Finance\/}~{\em 53\/}(1), 219--265.2829\bibitem[\protect\citeauthoryear{Andersen, Bollerslev, and Diebold}{Andersen30  et~al.}{2007}]{andersen2007roughing}31Andersen, T.~G., T.~Bollerslev, and F.~X. Diebold (2007).32\newblock Roughing it up: Including jump components in the measurement,33  modeling, and forecasting of return volatility.34\newblock {\em The Review of Economics and Statistics\/}~{\em 89\/}(4),35  701--720.3637\bibitem[\protect\citeauthoryear{Andersen, Bollerslev, Diebold, and38  Ebens}{Andersen et~al.}{2001}]{andersen2001distribution}39Andersen, T.~G., T.~Bollerslev, F.~X. Diebold, and H.~Ebens (2001).40\newblock The distribution of realized stock return volatility.41\newblock {\em Journal of Financial Economics\/}~{\em 61\/}(1), 43--76.4243\bibitem[\protect\citeauthoryear{Andersen, Bollerslev, Diebold, and44  Vega}{Andersen et~al.}{2003}]{andersen2003micro}45Andersen, T.~G., T.~Bollerslev, F.~X. Diebold, and C.~Vega (2003).46\newblock Micro effects of macro announcements: Real-time price discovery in47  foreign exchange.48\newblock {\em American Economic Review\/}~{\em 93\/}(1), 38--62.4950\bibitem[\protect\citeauthoryear{Andersen, Bollerslev, Diebold, and51  Vega}{Andersen et~al.}{2007}]{andersen2007real}52Andersen, T.~G., T.~Bollerslev, F.~X. Diebold, and C.~Vega (2007).53\newblock Real-time price discovery in global stock, bond and foreign exchange54  markets.55\newblock {\em Journal of International Economics\/}~{\em 73\/}(2), 251--277.5657\bibitem[\protect\citeauthoryear{Apel and Grimaldi}{Apel and58  Grimaldi}{2012}]{apel2012}59Apel, M. and M.~B. Grimaldi (2012).60\newblock The information content of central bank minutes.61\newblock Working Paper Series 261, Sveriges Riksbank.6263\bibitem[\protect\citeauthoryear{Araci}{Araci}{2019}]{araci2019}64Araci, D. (2019).65\newblock Finbert: Financial sentiment analysis with pre-trained language66  models.67\newblock {\em arXiv preprint arXiv:1908.10063\/}.6869\bibitem[\protect\citeauthoryear{Aulerich, Irwin, and Garcia}{Aulerich70  et~al.}{2012}]{aulerich2012bubbles}71Aulerich, N.~M., S.~H. Irwin, and P.~Garcia (2012).72\newblock Bubbles.73\newblock In {\em Food Prices, and Speculation: Evidence from the CFTC’s74  Daily Large Trader Data Files, Paper Prepared for Presentation at the NBER75  Conference on “Economics of Food Price Volatility” in Seattle, WA}.7677\bibitem[\protect\citeauthoryear{Bai and Perron}{Bai and78  Perron}{2003}]{bai2003computation}79Bai, J. and P.~Perron (2003).80\newblock Computation and analysis of multiple structural change models.81\newblock {\em Journal of Applied Econometrics\/}~{\em 18\/}(1), 1--22.8283\bibitem[\protect\citeauthoryear{Baker, Bloom, and Davis}{Baker84  et~al.}{2016}]{baker2016}85Baker, S.~R., N.~Bloom, and S.~J. Davis (2016).86\newblock Measuring economic policy uncertainty.87\newblock {\em Quarterly Journal of Economics\/}~{\em 131\/}(4), 1593--1636.8889\bibitem[\protect\citeauthoryear{Balduzzi, Elton, and Green}{Balduzzi90  et~al.}{2001}]{balduzzi2001economic}91Balduzzi, P., E.~J. Elton, and T.~C. Green (2001).92\newblock Economic news and bond prices: Evidence from the us treasury market.93\newblock {\em Journal of Financial and Quantitative Analysis\/}~{\em 36\/}(4),94  523--543.9596\bibitem[\protect\citeauthoryear{Barndorff-Nielsen, Hansen, Lunde, and97  Shephard}{Barndorff-Nielsen et~al.}{2009}]{barndorff2009realized}98Barndorff-Nielsen, O.~E., P.~R. Hansen, A.~Lunde, and N.~Shephard (2009).99\newblock Realized kernels in practice: Trades and quotes.100\newblock {\em The Econometrics Journal\/}~{\em 12\/}(3), C1--C32.101102\bibitem[\protect\citeauthoryear{Barndorff-Nielsen and103  Shephard}{Barndorff-Nielsen and Shephard}{2002}]{barndorff2002econometric}104Barndorff-Nielsen, O.~E. and N.~Shephard (2002).105\newblock Econometric analysis of realized volatility and its use in estimating106  stochastic volatility models.107\newblock {\em Journal of the Royal Statistical Society: Series B\/}~{\em108  64\/}(2), 253--280.109110\bibitem[\protect\citeauthoryear{Barndorff-Nielsen and111  Shephard}{Barndorff-Nielsen and Shephard}{2004}]{barndorff2004power}112Barndorff-Nielsen, O.~E. and N.~Shephard (2004).113\newblock Power and bipower variation with stochastic volatility and jumps.114\newblock {\em Journal of Financial Econometrics\/}~{\em 2\/}(1), 1--37.115116\bibitem[\protect\citeauthoryear{Basak and Pavlova}{Basak and117  Pavlova}{2016}]{basak2016model}118Basak, S. and A.~Pavlova (2016).119\newblock A model of financialization of commodities.120\newblock {\em Journal of Finance\/}~{\em 71\/}(4), 1511--1556.121122\bibitem[\protect\citeauthoryear{Baumeister and Kilian}{Baumeister and123  Kilian}{2014}]{baumeister2014oil}124Baumeister, C. and L.~Kilian (2014).125\newblock Do oil price increases cause higher food prices?126\newblock {\em Economic Policy\/}~{\em 29\/}(80), 691--747.127128\bibitem[\protect\citeauthoryear{Baur and Lucey}{Baur and129  Lucey}{2010}]{baur2010gold}130Baur, D.~G. and B.~M. Lucey (2010).131\newblock Is gold a hedge or a safe haven? {An} analysis of stocks, bonds and132  gold.133\newblock {\em Financial Review\/}~{\em 45\/}(2), 217--229.134135\bibitem[\protect\citeauthoryear{Ben-David, Franzoni, and Moussawi}{Ben-David136  et~al.}{2018}]{ben2018etfs}137Ben-David, I., F.~Franzoni, and R.~Moussawi (2018).138\newblock Do {ETFs} increase volatility?139\newblock {\em The Journal of Finance\/}~{\em 73\/}(6), 2471--2535.140141\bibitem[\protect\citeauthoryear{Benjamini and Hochberg}{Benjamini and142  Hochberg}{1995}]{benjamini1995controlling}143Benjamini, Y. and Y.~Hochberg (1995).144\newblock Controlling the false discovery rate: a practical and powerful145  approach to multiple testing.146\newblock {\em Journal of the Royal Statistical Society: Series B147  (Methodological)\/}~{\em 57\/}(1), 289--300.148149\bibitem[\protect\citeauthoryear{Bernanke and Kuttner}{Bernanke and150  Kuttner}{2005}]{bernanke2005}151Bernanke, B.~S. and K.~N. Kuttner (2005).152\newblock What explains the stock market's reaction to federal reserve policy?153\newblock {\em Journal of Finance\/}~{\em 60\/}(3), 1221--1257.154155\bibitem[\protect\citeauthoryear{Bligh and Hess}{Bligh and156  Hess}{2008}]{bligh2008}157Bligh, M.~C. and G.~D. Hess (2008).158\newblock The decline of symbolic politics: Federal reserve communications.159\newblock {\em Journal of Economic Psychology\/}~{\em 29\/}(4), 535--559.160161\bibitem[\protect\citeauthoryear{Blinder, Ehrmann, Fratzscher, De~Haan, and162  Jansen}{Blinder et~al.}{2008}]{blinder2008}163Blinder, A.~S., M.~Ehrmann, M.~Fratzscher, J.~De~Haan, and D.-J. Jansen (2008).164\newblock Central bank communication and monetary policy: A survey of theory165  and evidence.166\newblock {\em Journal of Economic Literature\/}~{\em 46\/}(4), 910--945.167168\bibitem[\protect\citeauthoryear{Boons, de~Roon, and Szymanowska}{Boons169  et~al.}{2014}]{boons2014price}170Boons, M., F.~A. de~Roon, and M.~Szymanowska (2014).171\newblock The price of commodity risk in stock and futures markets.172\newblock In {\em AFA 2012 Chicago Meetings Paper}.173\newblock Available at SSRN: \url{https://ssrn.com/abstract=1785728} or174  \url{http://dx.doi.org/10.2139/ssrn.1785728}.175176\bibitem[\protect\citeauthoryear{Brownlees and Gallo}{Brownlees and177  Gallo}{2006}]{brownlees2014practical}178Brownlees, C.~T. and G.~M. Gallo (2006).179\newblock Financial econometric analysis at ultra-high frequency: Data handling180  concerns.181\newblock {\em Computational Statistics \& Data Analysis\/}~{\em 51\/}(4),182  2232--2245.183184\bibitem[\protect\citeauthoryear{Brunetti, B{\"u}y{\"u}k{\c{s}}ahin, and185  Harris}{Brunetti et~al.}{2016}]{brunetti2016speculators}186Brunetti, C., B.~B{\"u}y{\"u}k{\c{s}}ahin, and J.~H. Harris (2016).187\newblock Speculators, prices, and market volatility.188\newblock {\em Journal of Financial and Quantitative Analysis\/}~{\em 51\/}(5),189  1545--1574.190191\bibitem[\protect\citeauthoryear{Brunetti and Reiffen}{Brunetti and192  Reiffen}{2014}]{brunetti2014commodity}193Brunetti, C. and D.~Reiffen (2014).194\newblock Commodity index trading and hedging costs.195\newblock {\em Journal of Financial Markets\/}~{\em 21}, 153--180.196197\bibitem[\protect\citeauthoryear{Brusa, Savor, and Wilson}{Brusa198  et~al.}{2015}]{brusa2015}199Brusa, F., P.~Savor, and M.~Wilson (2015).200\newblock Asset allocation and fomc announcements.201\newblock {\em Review of Financial Studies\/}~{\em 28\/}(5), 1398--1446.202203\bibitem[\protect\citeauthoryear{Brusa, Savor, and Wilson}{Brusa204  et~al.}{2019}]{brusa2019}205Brusa, F., P.~Savor, and M.~Wilson (2019).206\newblock Fomc announcements and market returns: Evidence from the options207  market.208\newblock {\em Journal of Finance\/}~{\em 75\/}(1), 399--441.209210\bibitem[\protect\citeauthoryear{Bryant, Bessler, and Haigh}{Bryant211  et~al.}{2006}]{bryant2006causality}212Bryant, H.~L., D.~A. Bessler, and M.~S. Haigh (2006).213\newblock Causality in futures markets.214\newblock {\em Journal of Futures Markets\/}~{\em 26\/}(11), 1039--1057.215216\bibitem[\protect\citeauthoryear{B{\"u}y{\"u}k{\c{s}}ahin and217  Harris}{B{\"u}y{\"u}k{\c{s}}ahin and218  Harris}{2011}]{buyukcsahin2011speculators}219B{\"u}y{\"u}k{\c{s}}ahin, B. and J.~H. Harris (2011).220\newblock Do speculators drive crude oil futures prices?221\newblock {\em The Energy Journal\/}~{\em 32\/}(2), 167--202.222223\bibitem[\protect\citeauthoryear{Buyuksahin and Robe}{Buyuksahin and224  Robe}{2014}]{buyuksahin2014speculation}225Buyuksahin, B. and M.~A. Robe (2014).226\newblock Speculation, commodities and cross-market linkages.227\newblock {\em Journal of International Money and Finance\/}~{\em 42}, 38--70.228229\bibitem[\protect\citeauthoryear{B{\"u}y{\"u}k{\c{s}}ahin and230  Robe}{B{\"u}y{\"u}k{\c{s}}ahin and Robe}{2014}]{buyukcsahin2014speculators}231B{\"u}y{\"u}k{\c{s}}ahin, B. and M.~A. Robe (2014).232\newblock Speculators, commodities and cross-market linkages.233\newblock {\em Journal of International Money and Finance\/}~{\em 42}, 38--70.234235\bibitem[\protect\citeauthoryear{Campbell, Evans, Fisher, and236  Justiniano}{Campbell et~al.}{2012}]{campbell2012}237Campbell, J.~R., C.~L. Evans, J.~D. Fisher, and A.~Justiniano (2012).238\newblock Macroeconomic effects of federal reserve forward guidance.239\newblock {\em Brookings Papers on Economic Activity\/}~{\em 2012\/}(1), 1--80.240241\bibitem[\protect\citeauthoryear{Cao, Su, Sun, Qin, and Umar}{Cao242  et~al.}{2024}]{cao2024us}243Cao, F., C.-W. Su, D.~Sun, M.~Qin, and M.~Umar (2024).244\newblock U.s. monetary policy: The pushing hands of crude oil price?245\newblock {\em Energy Economics\/}~{\em 134}, 107555.246247\bibitem[\protect\citeauthoryear{Carriero, Kapetanios, and Marcellino}{Carriero248  et~al.}{2009}]{carriero2015forecasting}249Carriero, A., G.~Kapetanios, and M.~Marcellino (2009).250\newblock Forecasting exchange rates with a large {B}ayesian {VAR}.251\newblock {\em International Journal of Forecasting\/}~{\em 25\/}(2), 400--417.252253\bibitem[\protect\citeauthoryear{Chang, Pinegar, and Schachter}{Chang254  et~al.}{1997}]{chang1997interday}255Chang, E.~C., J.~M. Pinegar, and B.~Schachter (1997).256\newblock Interday variations in volume, variance and participation of large257  speculators.258\newblock {\em Journal of Banking \& Finance\/}~{\em 21\/}(6), 797--810.259260\bibitem[\protect\citeauthoryear{Cheng, Kirilenko, and Xiong}{Cheng261  et~al.}{2015}]{cheng2015convective}262Cheng, I.-H., A.~Kirilenko, and W.~Xiong (2015).263\newblock Convective risk flows in commodity futures markets.264\newblock {\em Review of Finance\/}~{\em 19\/}(5), 1733--1781.265266\bibitem[\protect\citeauthoryear{Cheng and Xiong}{Cheng and267  Xiong}{2014}]{cheng2014financialization}268Cheng, I.-H. and W.~Xiong (2014).269\newblock Financialization of commodity markets.270\newblock {\em Annual Review of Financial Economics\/}~{\em 6\/}(1), 419--441.271272\bibitem[\protect\citeauthoryear{Chordia, Roll, and Subrahmanyam}{Chordia273  et~al.}{2008}]{chordia2008liquidity}274Chordia, T., R.~Roll, and A.~Subrahmanyam (2008).275\newblock Liquidity and market efficiency.276\newblock {\em Journal of Financial Economics\/}~{\em 87\/}(2), 249--268.277278\bibitem[\protect\citeauthoryear{Corsi}{Corsi}{2009}]{corsi2009simple}279Corsi, F. (2009).280\newblock A simple approximate long-memory model of realized volatility.281\newblock {\em Journal of Financial Econometrics\/}~{\em 7\/}(2), 174--196.282283\bibitem[\protect\citeauthoryear{Da and Shive}{Da and284  Shive}{2018}]{da2018exchange}285Da, Z. and S.~Shive (2018).286\newblock Exchange traded funds and asset return correlations.287\newblock {\em European Financial Management\/}~{\em 24\/}(1), 136--168.288289\bibitem[\protect\citeauthoryear{Da, Tang, Tao, and Yang}{Da290  et~al.}{2024}]{da2024financialization}291Da, Z., K.~Tang, Y.~Tao, and L.~Yang (2024).292\newblock Financialization and commodity markets serial dependence.293\newblock {\em Management Science\/}~{\em 70\/}(4), 2122--2143.294295\bibitem[\protect\citeauthoryear{Daigler and Wiley}{Daigler and296  Wiley}{1999}]{daigler1999impact}297Daigler, R.~T. and M.~K. Wiley (1999).298\newblock The impact of trader type on the futures volatility-volume relation.299\newblock {\em Journal of Finance\/}~{\em 54\/}(6), 2297--2316.300301\bibitem[\protect\citeauthoryear{Dannhauser}{Dannhauser}{2017}]{dannhauser2017effect}302Dannhauser, C.~D. (2017).303\newblock The impact of innovation: Evidence from corporate bond304  exchange-traded funds.305\newblock {\em Journal of Financial Economics\/}~{\em 125\/}(3), 537--560.306307\bibitem[\protect\citeauthoryear{Devlin, Chang, Lee, and Toutanova}{Devlin308  et~al.}{2019}]{kenton2019}309Devlin, J., M.-W. Chang, K.~Lee, and K.~Toutanova (2019).310\newblock Bert: Pre-training of deep bidirectional transformers for language311  understanding.312\newblock In {\em Proceedings of the 2019 Conference of the North American313  Chapter of the Association for Computational Linguistics}, pp.\  4171--4186.314315\bibitem[\protect\citeauthoryear{Domanski and Heath}{Domanski and316  Heath}{2007}]{domanski2007financial}317Domanski, D. and A.~Heath (2007).318\newblock Financial investors and commodity markets.319\newblock {\em BIS Quarterly Review\/}~{\em 3\/}(1), 53--67.320321\bibitem[\protect\citeauthoryear{Ehrmann, Fratzscher, and Rigobon}{Ehrmann322  et~al.}{2011}]{ehrmann2011}323Ehrmann, M., M.~Fratzscher, and R.~Rigobon (2011).324\newblock Global crises and equity market contagion.325\newblock {\em Journal of Finance\/}~{\em 66\/}(6), 2597--2649.326327\bibitem[\protect\citeauthoryear{Eklund and Kim}{Eklund and328  Kim}{2024}]{eklund2024}329Eklund, J. and S.~Kim (2024).330\newblock Fomc statement sentiment and inflation expectations.331\newblock {\em Journal of Monetary Economics\/}~{\em 141}, 45--62.332333\bibitem[\protect\citeauthoryear{Erb and Harvey}{Erb and334  Harvey}{2013}]{erb2013golden}335Erb, C.~B. and C.~R. Harvey (2013).336\newblock The golden dilemma.337\newblock {\em Financial Analysts Journal\/}~{\em 69\/}(4), 10--42.338339\bibitem[\protect\citeauthoryear{Fama}{Fama}{1970}]{fama1970}340Fama, E.~F. (1970).341\newblock Efficient capital markets: A review of theory and empirical work.342\newblock {\em Journal of Finance\/}~{\em 25\/}(2), 383--417.343344\bibitem[\protect\citeauthoryear{Fattouh, Kilian, and Mahadeva}{Fattouh345  et~al.}{2013}]{fattouh2013role}346Fattouh, B., L.~Kilian, and L.~Mahadeva (2013).347\newblock The role of speculation in oil markets: What have we learned so far?348\newblock {\em The Energy Journal\/}~{\em 34\/}(3), 7--33.349350\bibitem[\protect\citeauthoryear{Fishe and Smith}{Fishe and351  Smith}{2012}]{fishe2012identifying}352Fishe, R.~P. and A.~Smith (2012).353\newblock Identifying informed traders in futures markets.354\newblock {\em Journal of Financial Markets\/}~{\em 15\/}(3), 329--359.355356\bibitem[\protect\citeauthoryear{Fleming and Remolona}{Fleming and357  Remolona}{1997}]{fleming1997moves}358Fleming, M.~J. and E.~M. Remolona (1997).359\newblock What moves the bond market?360\newblock {\em Federal Reserve Bank of New York Economic Policy Review\/}~{\em361  3\/}(4).362363\bibitem[\protect\citeauthoryear{Fleming and Remolona}{Fleming and364  Remolona}{1999}]{fleming1999}365Fleming, M.~J. and E.~M. Remolona (1999).366\newblock Price formation and liquidity in the us treasury market: The response367  to public information.368\newblock {\em Journal of Finance\/}~{\em 54\/}(5), 1901--1915.369370\bibitem[\protect\citeauthoryear{Gentzkow, Kelly, and Taddy}{Gentzkow371  et~al.}{2019}]{gentzkow2019}372Gentzkow, M., B.~Kelly, and M.~Taddy (2019).373\newblock Text as data.374\newblock {\em Journal of Economic Literature\/}~{\em 57\/}(3), 535--574.375376\bibitem[\protect\citeauthoryear{Ghysels, Santa-Clara, and Valkanov}{Ghysels377  et~al.}{2004}]{ghysels2004midas}378Ghysels, E., P.~Santa-Clara, and R.~Valkanov (2004).379\newblock The midas touch: Mixed data sampling regression models.380381\bibitem[\protect\citeauthoryear{Glosten, Nallareddy, and Zou}{Glosten382  et~al.}{2021}]{glosten2021etf}383Glosten, L., S.~Nallareddy, and Y.~Zou (2021).384\newblock {ETF} activity and informational efficiency of underlying securities.385\newblock {\em Management Science\/}~{\em 67\/}(1), 22--47.386387\bibitem[\protect\citeauthoryear{Goldstein and Yang}{Goldstein and388  Yang}{2022}]{goldstein2022commodity}389Goldstein, I. and L.~Yang (2022).390\newblock Commodity financialization and information transmission.391\newblock {\em The Journal of Finance\/}~{\em 77\/}(5), 2613--2667.392393\bibitem[\protect\citeauthoryear{Gorodnichenko, Pham, and394  Talavera}{Gorodnichenko et~al.}{2023}]{gorodnichenko2023}395Gorodnichenko, Y., T.~Pham, and O.~Talavera (2023).396\newblock The voice of monetary policy.397\newblock {\em American Economic Review\/}~{\em 113\/}(2), 548--584.398399\bibitem[\protect\citeauthoryear{Gorton and Rouwenhorst}{Gorton and400  Rouwenhorst}{2006}]{gorton2006facts}401Gorton, G. and K.~G. Rouwenhorst (2006).402\newblock Facts and fantasies about commodity futures.403\newblock {\em Financial Analysts Journal\/}~{\em 62\/}(2), 47--68.404405\bibitem[\protect\citeauthoryear{Gromb and Vayanos}{Gromb and406  Vayanos}{2010}]{gromb2010limits}407Gromb, D. and D.~Vayanos (2010).408\newblock Limits of arbitrage: The state of the theory.409\newblock {\em Annual Review of Financial Economics\/}~{\em 2}, 251--275.410411\bibitem[\protect\citeauthoryear{Grossman and Stiglitz}{Grossman and412  Stiglitz}{1980}]{grossman1980}413Grossman, S.~J. and J.~E. Stiglitz (1980).414\newblock On the impossibility of informationally efficient markets.415\newblock {\em American Economic Review\/}~{\em 70\/}(3), 393--408.416417\bibitem[\protect\citeauthoryear{G{\"u}rkaynak, Sack, and418  Swanson}{G{\"u}rkaynak et~al.}{2005}]{gurkaynak2005}419G{\"u}rkaynak, R.~S., B.~P. Sack, and E.~T. Swanson (2005).420\newblock Do actions speak louder than words? the response of asset prices to421  monetary policy actions and statements.422\newblock {\em International Journal of Central Banking\/}~{\em 1\/}(1),423  55--93.424425\bibitem[\protect\citeauthoryear{Gürtler and Gürtler}{Gürtler and426  Gürtler}{2010}]{gurtler2010}427Gürtler, M. and O.~Gürtler (2010).428\newblock The effect of fomc statement language on financial markets.429\newblock {\em Journal of Financial Research\/}~{\em 33\/}(4), 369--391.430431\bibitem[\protect\citeauthoryear{Haigh, Hranaiova, and Overdahl}{Haigh432  et~al.}{2007}]{haigh2007hedge}433Haigh, M.~S., J.~Hranaiova, and J.~A. Overdahl (2007).434\newblock Hedge funds, volatility, and liquidity provision in energy futures435  markets.436\newblock {\em Journal of Alternative Investments\/}~{\em 9\/}(4), 10--38.437438\bibitem[\protect\citeauthoryear{Hamilton and Wu}{Hamilton and439  Wu}{2014}]{hamilton2014risk}440Hamilton, J.~D. and J.~C. Wu (2014).441\newblock Risk premia in crude oil futures prices.442\newblock {\em Journal of International Money and Finance\/}~{\em 42}, 9--37.443444\bibitem[\protect\citeauthoryear{Hansen and Lunde}{Hansen and445  Lunde}{2005}]{hansen2005realized}446Hansen, P.~R. and A.~Lunde (2005).447\newblock A realized variance for the whole day based on intermittent448  high-frequency data.449\newblock {\em Journal of Financial Econometrics\/}~{\em 3\/}(4), 525--554.450451\bibitem[\protect\citeauthoryear{Hansen, McMahon, and Prat}{Hansen452  et~al.}{2018}]{hansen2017}453Hansen, S., M.~McMahon, and A.~Prat (2018).454\newblock Transparency and deliberation within the fomc: A computational455  linguistics approach.456\newblock {\em Quarterly Journal of Economics\/}~{\em 133\/}(2), 801--870.457458\bibitem[\protect\citeauthoryear{Hasbrouck}{Hasbrouck}{2003}]{hasbrouck2003intraday}459Hasbrouck, J. (2003).460\newblock Intraday price formation in {US} equity index markets.461\newblock {\em The Journal of Finance\/}~{\em 58\/}(6), 2375--2400.462463\bibitem[\protect\citeauthoryear{Hayo and Neuenkirch}{Hayo and464  Neuenkirch}{2010}]{hayo2010}465Hayo, B. and M.~Neuenkirch (2010).466\newblock Do federal reserve communications help predict federal funds target467  rate decisions?468\newblock {\em Journal of Macroeconomics\/}~{\em 32\/}(4), 1014--1024.469470\bibitem[\protect\citeauthoryear{Hedegaard}{Hedegaard}{2011}]{hedegaard2011margins}471Hedegaard, E. (2011).472\newblock How margins are set and affect asset prices.473\newblock {\em Job Market Paper\/}.474475\bibitem[\protect\citeauthoryear{Hendershott and Riordan}{Hendershott and476  Riordan}{2013}]{hendershott2013relationship}477Hendershott, T. and R.~Riordan (2013).478\newblock Algorithmic trading and the market for liquidity.479\newblock {\em Journal of Financial and Quantitative Analysis\/}~{\em 48\/}(4),480  1001--1024.481482\bibitem[\protect\citeauthoryear{Henderson, Pearson, and Wang}{Henderson483  et~al.}{2015}]{henderson2015new}484Henderson, B.~J., N.~D. Pearson, and L.~Wang (2015).485\newblock New evidence on the financialization of commodity markets.486\newblock {\em Review of Financial Studies\/}~{\em 28\/}(5), 1285--1311.487488\bibitem[\protect\citeauthoryear{Hollstein, Prokopczuk, and489  W{\"u}rsig}{Hollstein et~al.}{2020}]{hollstein2020volatility}490Hollstein, F., M.~Prokopczuk, and C.~W{\"u}rsig (2020).491\newblock Volatility term structures in commodity markets.492\newblock {\em Journal of Futures Markets\/}~{\em 40\/}(4), 527--555.493494\bibitem[\protect\citeauthoryear{Hu, Pan, and Wang}{Hu et~al.}{2013}]{hu2019}495Hu, G.~X., J.~Pan, and J.~Wang (2013).496\newblock Noise as information for illiquidity.497\newblock {\em Journal of Finance\/}~{\em 68\/}(6), 2341--2382.498499\bibitem[\protect\citeauthoryear{Huang and Tauchen}{Huang and500  Tauchen}{2005}]{huang2005using}501Huang, X. and G.~Tauchen (2005).502\newblock The relative contribution of jumps to total price variance.503\newblock {\em Journal of Financial Econometrics\/}~{\em 3\/}(4), 456--499.504505\bibitem[\protect\citeauthoryear{Irwin and Brorsen}{Irwin and506  Brorsen}{1987}]{irwin1987note}507Irwin, S.~H. and B.~W. Brorsen (1987).508\newblock A note on the factors affecting technical trading system returns.509\newblock {\em Journal of Futures Markets\/}~{\em 7\/}(5), 591--595.510511\bibitem[\protect\citeauthoryear{Irwin and Holt}{Irwin and512  Holt}{2004}]{irwin2004effect}513Irwin, S.~H. and B.~Holt (2004).514\newblock The effect of large hedge fund and {CTA} trading on futures market515  volatility.516\newblock In {\em Commodity Trading Advisors: Risk, Performance Analysis and517  Selection}. New York, NY: John Wiley and Sons, Inc.518519\bibitem[\protect\citeauthoryear{Irwin and Sanders}{Irwin and520  Sanders}{2011}]{irwin2011index}521Irwin, S.~H. and D.~R. Sanders (2011).522\newblock Index funds, financialization, and commodity futures markets.523\newblock {\em Applied Economic Perspectives and Policy\/}~{\em 33\/}(1),524  1--31.525526\bibitem[\protect\citeauthoryear{Irwin and Sanders}{Irwin and527  Sanders}{2012}]{irwin2012testing}528Irwin, S.~H. and D.~R. Sanders (2012).529\newblock Testing the masters hypothesis in commodity futures markets.530\newblock {\em Energy Economics\/}~{\em 34\/}(1), 256--269.531532\bibitem[\protect\citeauthoryear{Irwin and Yoshimaru}{Irwin and533  Yoshimaru}{1999}]{irwin1999managed}534Irwin, S.~H. and S.~Yoshimaru (1999).535\newblock Managed futures, positive feedback trading, and futures price536  volatility.537\newblock {\em Journal of Futures Markets\/}~{\em 19\/}(7), 759--776.538539\bibitem[\protect\citeauthoryear{Israeli, Lee, and Sridharan}{Israeli540  et~al.}{2017}]{israeli2017etf}541Israeli, D., C.~M. Lee, and S.~A. Sridharan (2017).542\newblock Is there a dark side to exchange traded funds? {An} information543  perspective.544\newblock {\em Review of Accounting Studies\/}~{\em 22\/}(3), 1048--1083.545546\bibitem[\protect\citeauthoryear{Jaro{\'c}inski and Kar{\'a}di}{Jaro{\'c}inski547  and Kar{\'a}di}{2020}]{jarocinski2020}548Jaro{\'c}inski, M. and P.~Kar{\'a}di (2020).549\newblock Deconstructing monetary policy surprises—the role of information550  shocks.551\newblock {\em American Economic Journal: Macroeconomics\/}~{\em 12\/}(2),552  1--43.553554\bibitem[\protect\citeauthoryear{Jord{\`a}}{Jord{\`a}}{2005}]{jorda2005}555Jord{\`a}, {\`O}. (2005).556\newblock Estimation and inference of impulse responses by local projections.557\newblock {\em American Economic Review\/}~{\em 95\/}(1), 161--182.558559\bibitem[\protect\citeauthoryear{Kang, Nikitopoulos, and Prokopczuk}{Kang560  et~al.}{2020}]{kang2020economic}561Kang, B., C.~S. Nikitopoulos, and M.~Prokopczuk (2020).562\newblock Economic determinants of oil futures volatility: A term structure563  perspective.564\newblock {\em Energy Economics\/}~{\em 88}, 104743.565566\bibitem[\protect\citeauthoryear{Kang, Rouwenhorst, and Tang}{Kang567  et~al.}{2020}]{kang2020tale}568Kang, W., K.~G. Rouwenhorst, and K.~Tang (2020).569\newblock A tale of two premiums: The role of hedgers and speculators in570  commodity futures markets.571\newblock {\em Journal of Finance\/}~{\em 75\/}(1), 377--417.572573\bibitem[\protect\citeauthoryear{Kang, Tang, and Wang}{Kang574  et~al.}{2023}]{kang2023financialization}575Kang, W., K.~Tang, and N.~Wang (2023).576\newblock Financialization of commodity markets ten years later.577\newblock {\em Journal of Commodity Markets\/}~{\em 30}, 100313.578579\bibitem[\protect\citeauthoryear{Karali and Ramirez}{Karali and580  Ramirez}{2014}]{karali2014macro}581Karali, B. and O.~A. Ramirez (2014).582\newblock Macro determinants of volatility and volatility spillover in energy583  markets.584\newblock {\em Energy Economics\/}~{\em 46}, 413--421.585586\bibitem[\protect\citeauthoryear{Kilian and Murphy}{Kilian and587  Murphy}{2014}]{kilian2014role}588Kilian, L. and D.~P. Murphy (2014).589\newblock The role of inventories and speculative trading in the global market590  for crude oil.591\newblock {\em Journal of Applied Econometrics\/}~{\em 29\/}(3), 454--478.592593\bibitem[\protect\citeauthoryear{Kilian and Vega}{Kilian and594  Vega}{2011}]{kilian2011energy}595Kilian, L. and C.~Vega (2011).596\newblock Do energy prices respond to us macroeconomic news? a test of the597  hypothesis of predetermined energy prices.598\newblock {\em Review of Economics and Statistics\/}~{\em 93\/}(2), 660--671.599600\bibitem[\protect\citeauthoryear{Koop}{Koop}{2013}]{koop2011forecasting}601Koop, G. (2013).602\newblock Forecasting with medium and large {B}ayesian {VARs}.603\newblock {\em Journal of Applied Econometrics\/}~{\em 28\/}(2), 177--203.604605\bibitem[\protect\citeauthoryear{Kothari and Warner}{Kothari and606  Warner}{2007}]{kothari2007econometrics}607Kothari, S.~P. and J.~B. Warner (2007).608\newblock Econometrics of event studies.609\newblock pp.\  3--36.610611\bibitem[\protect\citeauthoryear{Kurov, Sancetta, Strasser, and Wolfe}{Kurov612  et~al.}{2019}]{kurov2019price}613Kurov, A., A.~Sancetta, G.~Strasser, and M.~H. Wolfe (2019).614\newblock Price drift before us macroeconomic news: Private information about615  public announcements?616\newblock {\em Journal of Financial and Quantitative Analysis\/}~{\em 54\/}(1),617  449--479.618619\bibitem[\protect\citeauthoryear{Kuttner}{Kuttner}{2001}]{kuttner2001}620Kuttner, K.~N. (2001).621\newblock Monetary policy surprises and interest rates: Evidence from the fed622  funds futures market.623\newblock {\em Journal of Monetary Economics\/}~{\em 47\/}(3), 523--544.624625\bibitem[\protect\citeauthoryear{Känzig}{Känzig}{2021}]{10.1257/aer.20190964}626Känzig, D.~R. (2021, April).627\newblock The macroeconomic effects of oil supply news: Evidence from {OPEC}628  announcements.629\newblock {\em American Economic Review\/}~{\em 111\/}(4), 1092--1125.630631\bibitem[\protect\citeauthoryear{Litterman}{Litterman}{1986}]{litterman1986forecasting}632Litterman, R.~B. (1986).633\newblock Forecasting with {B}ayesian vector autoregressions—five years of634  experience.635\newblock {\em Journal of Business \& Economic Statistics\/}~{\em 4\/}(1),636  25--38.637638\bibitem[\protect\citeauthoryear{Liu, Patton, and Sheppard}{Liu639  et~al.}{2015}]{liu2015does}640Liu, L.~Y., A.~J. Patton, and K.~Sheppard (2015).641\newblock Does anything beat 5-minute {RV}? {A} comparison of realized measures642  across multiple asset classes.643\newblock {\em Journal of Econometrics\/}~{\em 187\/}(1), 293--311.644645\bibitem[\protect\citeauthoryear{Loughran and McDonald}{Loughran and646  McDonald}{2011}]{loughran2011}647Loughran, T. and B.~McDonald (2011).648\newblock When is a liability not a liability? textual analysis, dictionaries,649  and 10-ks.650\newblock {\em Journal of Finance\/}~{\em 66\/}(1), 35--65.651652\bibitem[\protect\citeauthoryear{Lucca and Moench}{Lucca and653  Moench}{2015}]{lucca2012}654Lucca, D.~O. and E.~Moench (2015).655\newblock The pre-fomc announcement drift.656\newblock {\em Journal of Finance\/}~{\em 70\/}(1), 329--371.657658\bibitem[\protect\citeauthoryear{Madhavan}{Madhavan}{2012}]{madhavan2012exchange}659Madhavan, A. (2012).660\newblock Exchange-traded funds, market structure, and the flash crash.661\newblock {\em Financial Analysts Journal\/}~{\em 68\/}(4), 20--35.662663\bibitem[\protect\citeauthoryear{Manela and Moreira}{Manela and664  Moreira}{2017}]{manela2017}665Manela, A. and A.~Moreira (2017).666\newblock News implied volatility and disaster concerns.667\newblock {\em Journal of Financial Economics\/}~{\em 123\/}(1), 137--162.668669\bibitem[\protect\citeauthoryear{Masters}{Masters}{2009}]{masters2009testimony}670Masters, M.~W. (2009).671\newblock Testimony before the commodity futures trading commission.672\newblock {\em Testimony to the Commodity Futures Trading Commission\/}.673674\bibitem[\protect\citeauthoryear{Muth}{Muth}{1961}]{muth1961}675Muth, J.~F. (1961).676\newblock Rational expectations and the theory of price movements.677\newblock {\em Econometrica\/}~{\em 29\/}(3), 315--335.678679\bibitem[\protect\citeauthoryear{Müller, Dacorogna, Davé, Olsen, Pictet, and680  von Weizsäcker}{Müller et~al.}{1997}]{muller1997volatilities}681Müller, U.~A., M.~M. Dacorogna, R.~D. Davé, R.~B. Olsen, O.~V. Pictet, and682  J.~E. von Weizsäcker (1997).683\newblock Volatilities of different time resolutions—analyzing the dynamics684  of market components.685\newblock {\em Journal of Empirical Finance\/}~{\em 4\/}(2-3), 213--239.686687\bibitem[\protect\citeauthoryear{Nakamura and Steinsson}{Nakamura and688  Steinsson}{2018}]{nakamura2018}689Nakamura, E. and J.~Steinsson (2018).690\newblock High-frequency identification of monetary non-neutrality: The691  information effect.692\newblock {\em Quarterly Journal of Economics\/}~{\em 133\/}(3), 1283--1330.693694\bibitem[\protect\citeauthoryear{Newey and West}{Newey and695  West}{1994}]{newey1994automatic}696Newey, W.~K. and K.~D. West (1994).697\newblock Automatic lag selection in covariance matrix estimation.698\newblock {\em Review of Economic Studies\/}~{\em 61\/}(4), 631--653.699700\bibitem[\protect\citeauthoryear{O'Hara and Zhou}{O'Hara and701  Zhou}{2021}]{ohara2021etf}702O'Hara, M. and X.~A. Zhou (2021).703\newblock Anatomy of a liquidity crisis: Corporate bonds in the {COVID}-19704  crisis.705\newblock {\em Journal of Financial Economics\/}~{\em 142\/}(1), 46--68.706707\bibitem[\protect\citeauthoryear{Pan and Zeng}{Pan and Zeng}{2016}]{pan2016etf}708Pan, K. and Y.~Zeng (2016).709\newblock {ETF} arbitrage under liquidity mismatch.710\newblock {\em Journal of Financial Economics\/}~{\em 120\/}(3), 617--635.711712\bibitem[\protect\citeauthoryear{Patton and Verardo}{Patton and713  Verardo}{2012}]{patton2013}714Patton, A.~J. and M.~Verardo (2012).715\newblock Why do markets disagree? evidence from variation in opinion.716\newblock {\em Review of Financial Studies\/}~{\em 25\/}(12), 3734--3773.717718\bibitem[\protect\citeauthoryear{Petäjistö}{Petäjistö}{2017}]{petajisto2017inefficiencies}719Petäjistö, A. (2017).720\newblock Inefficiencies in the pricing of exchange-traded funds.721\newblock {\em Financial Analysts Journal\/}~{\em 73\/}(1), 24--54.722723\bibitem[\protect\citeauthoryear{Pontiff}{Pontiff}{1996}]{pontiff1996costly}724Pontiff, J. (1996).725\newblock Costly arbitrage: Evidence from closed-end funds.726\newblock {\em The Quarterly Journal of Economics\/}~{\em 111\/}(4),727  1135--1151.728729\bibitem[\protect\citeauthoryear{Ready and Ready}{Ready and730  Ready}{2022}]{ready2022order}731Ready, M.~J. and R.~C. Ready (2022).732\newblock Order flows and financial investor impacts in commodity futures733  markets.734\newblock {\em The Review of Financial Studies\/}~{\em 35\/}(10), 4712--4755.735736\bibitem[\protect\citeauthoryear{Richie, Daigler, and Gleason}{Richie737  et~al.}{2008}]{richie2008examination}738Richie, N., R.~T. Daigler, and K.~C. Gleason (2008).739\newblock The limits to stock index arbitrage: Examining {S\&P} 500 futures and740  {SPDRs}.741\newblock {\em Journal of Futures Markets\/}~{\em 28\/}(12), 1182--1205.742743\bibitem[\protect\citeauthoryear{Roll}{Roll}{1984}]{Roll1984}744Roll, R. (1984).745\newblock A simple implicit measure of the effective bid-ask spread.746\newblock {\em The Journal of Finance\/}~{\em 39\/}(4), 1127--1139.747748\bibitem[\protect\citeauthoryear{Rosa}{Rosa}{2013}]{rosa2013}749Rosa, C. (2013).750\newblock The high-frequency response of exchange rates and interest rates to751  macroeconomic announcements.752\newblock {\em Journal of Banking \& Finance\/}~{\em 37\/}(6), 2162--2174.753754\bibitem[\protect\citeauthoryear{Savor and Wilson}{Savor and755  Wilson}{2014}]{savor2014}756Savor, P. and M.~Wilson (2014).757\newblock Asset pricing: A tale of two days.758\newblock {\em Journal of Financial Economics\/}~{\em 113\/}(2), 171--201.759760\bibitem[\protect\citeauthoryear{Schmeling and Wagner}{Schmeling and761  Wagner}{2019}]{schmeling2019}762Schmeling, M. and C.~Wagner (2019).763\newblock Does central bank tone move asset prices?764\newblock {\em Review of Finance\/}~{\em 23\/}(5), 933--972.765766\bibitem[\protect\citeauthoryear{Scholtus, Van~Dijk, and Frijns}{Scholtus767  et~al.}{2014}]{scholtus2014speed}768Scholtus, M., D.~Van~Dijk, and B.~Frijns (2014).769\newblock Speed, algorithmic trading, and market quality around macroeconomic770  news announcements.771\newblock {\em Journal of Banking \& Finance\/}~{\em 38}, 89--105.772773\bibitem[\protect\citeauthoryear{Shapiro, Sudhof, and Wilson}{Shapiro774  et~al.}{2022}]{shapiro2019}775Shapiro, A.~H., M.~Sudhof, and D.~J. Wilson (2022).776\newblock Taking the fed at its word: A new approach to estimating central bank777  objectives using text analysis.778\newblock {\em Review of Economics and Statistics\/}~{\em 104\/}(4), 768--784.779780\bibitem[\protect\citeauthoryear{Shleifer and Summers}{Shleifer and781  Summers}{1990}]{shleifer1990noise}782Shleifer, A. and L.~H. Summers (1990).783\newblock The noise trader approach to finance.784\newblock {\em Journal of Economic perspectives\/}~{\em 4\/}(2), 19--33.785786\bibitem[\protect\citeauthoryear{Sims and Zha}{Sims and787  Zha}{1999}]{sims1999error}788Sims, C.~A. and T.~Zha (1999).789\newblock Error bands for impulse responses.790\newblock {\em Econometrica\/}~{\em 67\/}(5), 1113--1155.791792\bibitem[\protect\citeauthoryear{Singleton}{Singleton}{2014}]{singleton2014investor}793Singleton, K. (2014).794\newblock Investor flows and the 2008 boom/bust in oil prices.795\newblock {\em Management Science\/}~{\em 60\/}(2), 300--318.796797\bibitem[\protect\citeauthoryear{Staer}{Staer}{2017}]{staer2017asset}798Staer, A. (2017).799\newblock Asset management via {ETFs}.800\newblock {\em The Review of Financial Studies\/}~{\em 30\/}(9), 3225--3264.801802\bibitem[\protect\citeauthoryear{Swanson and Williams}{Swanson and803  Williams}{2014}]{swanson2014}804Swanson, E.~T. and J.~C. Williams (2014).805\newblock Measuring the effect of the zero lower bound on medium- and806  longer-term interest rates.807\newblock {\em American Economic Review\/}~{\em 104\/}(10), 3154--3185.808809\bibitem[\protect\citeauthoryear{Tang and Xiong}{Tang and810  Xiong}{2012}]{tang2012index}811Tang, K. and W.~Xiong (2012).812\newblock Index investment and the financialization of commodities.813\newblock {\em Financial Analysts Journal\/}~{\em 68\/}(6), 54--74.814815\bibitem[\protect\citeauthoryear{Todorov}{Todorov}{2024}]{todorov2021etf}816Todorov, K. (2024).817\newblock When passive funds affect prices: Evidence from volatility and818  commodity {ETFs}.819\newblock {\em Review of Finance\/}~{\em 28\/}(3), 831--863.820821\bibitem[\protect\citeauthoryear{Veldkamp}{Veldkamp}{2011}]{veldkamp2011}822Veldkamp, L.~L. (2011).823\newblock {\em Information Choice in Macroeconomics and Finance}.824\newblock Princeton University Press.825826\bibitem[\protect\citeauthoryear{Wang, Reimers, and Gurevych}{Wang827  et~al.}{2021}]{wang2021tsdae}828Wang, K., N.~Reimers, and I.~Gurevych (2021).829\newblock Tsdae: Using transformer-based sequential denoising auto-encoder for830  unsupervised sentence embedding learning.831\newblock In {\em Findings of the Association for Computational Linguistics:832  EMNLP 2021}, pp.\  671--688.833834\bibitem[\protect\citeauthoryear{Wongswan}{Wongswan}{2009}]{wongswan2009}835Wongswan, J. (2009).836\newblock The response of global equity indexes to u.s. monetary policy837  announcements.838\newblock {\em Journal of International Money and Finance\/}~{\em 28\/}(2),839  344--365.840841\bibitem[\protect\citeauthoryear{Working}{Working}{1960}]{working1960speculation}842Working, H. (1960).843\newblock Speculation on hedging markets.844\newblock {\em Food Research Institute Studies\/}~{\em 1\/}(2), 185--220.845846\bibitem[\protect\citeauthoryear{Zhu, Sun, Tu, and Ji}{Zhu847  et~al.}{2022}]{zhu2022oil}848Zhu, Z., L.~Sun, J.~Tu, and Q.~Ji (2022).849\newblock Oil price shocks and stock market anomalies.850\newblock {\em Financial Management\/}~{\em 51\/}(2), 573--612.851852\end{thebibliography}853