Purpose

This article quantifies public sentiment for dairy products using online media and investigates potential relationships between online media, both volume and sentiment, and future prices of Class III milk.

Design/methodology/approach

Netbase, an online media listening platform, was used to quantify US generated online media sentiment and number of mentions regarding dairy products. Granger-causality tests and Impulse Response Functions (IRFs) were used to study relationships between online media derived data and dairy futures prices.

Findings

Milk and cheese have more mentions in online media than yogurt and ice cream. Online media net sentiment around milk was the lowest of the dairy products studied. Granger-causality tests showed that Class III milk price Granger-causes net sentiment of dairy as a whole and of fluid milk. Price additionally Granger-causes mentions of milk, ice cream and yogurt. Notably, milk and ice cream mentions Granger-cause the Class III milk price. IRF's reveals that increases in mentions have a positive, albeit small, effect on the Class III milk price that is statistically significant for ice cream, but not for milk. IRF's directionality of the relationship from price to online media derived data was mixed.

Originality/value

This is the first time that relationships between online media -volume and sentiment- and futures prices of an agricultural commodity are researched. Exploration of futures markets alongside online media advances the use of online media to glean insights in financial, along with food and agricultural markets.

中文翻译：

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乳制品市场的在线媒体：美国乳制品期货市场研究

目的

本文使用网络媒体量化了公众对乳制品的情绪，并调查了网络媒体（数量和情绪）与 III 类牛奶未来价格之间的潜在关系。

设计/方法/途径

Netbase 是一个在线媒体收听平台，用于量化美国产生的在线媒体情绪和提及乳制品的次数。格兰杰因果关系检验和脉冲响应函数 (IRF) 用于研究在线媒体衍生数据与乳制品期货价格之间的关系。

发现

与酸奶和冰淇淋相比，牛奶和奶酪在网络媒体中的提及次数更多。在线媒体对牛奶的净情绪是所研究的乳制品中最低的。格兰杰因果关系检验表明，III 类牛奶价格格兰杰导致乳制品整体和液态奶的净情绪。Price 还提到了 Granger-causes 牛奶、冰淇淋和酸奶。值得注意的是，牛奶和冰淇淋提到了 Granger-cause III 类牛奶价格。IRF 显示，提及次数的增加对 III 类牛奶价格具有积极影响，尽管影响很小，这对冰淇淋具有统计显着性，但对牛奶则不然。IRF 关于从价格到在线媒体衍生数据的关系的方向性是混合的。

原创性/价值

这是首次研究在线媒体（交易量和情绪）与农产品期货价格之间的关系。与在线媒体一起探索期货市场促进了在线媒体的使用，以收集金融、食品和农业市场的见解。