Table 1.

Descriptive statistics.

		Mean	Std. Dev.	Skewness	Kurtosis	Jarque-Bera	ADF Statistics
Brent Crude Oil	Return	0.0003	0.0235	−0.0135	7.6355	4747.123***	−41.326***
	Sentiment	−0.1067	0.0788	1.4890	9.4743	11221.130***	−9.5290***
Gold	Return	0.0003	0.0107	−0.2826	9.3878	9084.795***	−41.714***
	Sentiment	−0.0341	0.0830	0.0635	3.7564	129.983***	−22.522***
Heating Oil	Return	0.0003	0.0230	0.1333	7.1669	3852.164***	−17.808***
	Sentiment	−0.1358	0.2331	0.1114	4.4438	466.248***	−34.698***
Natural Gas	Return	2.20e-5	0.0175	0.5389	9.5259	19960.310***	−46.730***
	Sentiment	−0.0743	0.0769	−0.1147	0.4784	61.2000***	−15.607***
Nickel	Return	0.0006	0.0095	−0.1605	3.7341	3103.600***	−43.401***
	Sentiment	−0.0633	0.1611	0.2035	2.2735	1178.700***	−28.092***
North Sea Oil	Return	0.0001	0.0097	0.0008	3.639	2878.000***	−41.171***
	Sentiment	−0.1527	0.2487	0.2909	0.5458	138.370***	−24.034***
Palladium	Return	0.0003	0.0213	−0.2210	9.1898	8507.179***	−42.866***
	Sentiment	−0.0729	0.3026	0.0536	3.5401	66.994***	−31.122***
Platinum	Return	0.0002	0.0144	−0.6917	11.9849	18257.180***	−42.645***
	Sentiment	−0.0155	0.2148	−0.0478	3.9256	190.399***	−32.971***
Silver	Return	0.0002	0.0183	−0.5252	8.7593	7570.052***	−41.926***
	Sentiment	−0.0289	0.1143	−0.1070	4.2348	346.921***	−27.981***
Copper	Return	−0.0314	0.0068	−0.7183	58.564	7.6476e+5***	−27.762***
	Sentiment	−0.4545	0.1139	0.1687	0.1378	28.883***	−21.391***

Notes: The data for returns is daily and covers the period that extends from January 1, 1998 to July 30, 2018. Jarque–Bera statistic is testing for normality. The ADF stands for Augmented Dickey–Fuller test with the null hypothesis is defined as ‘the series has a unit root against the alternative of stationarity’. All unit root tests are carried out with a constant and a time trend where the optimal lag length has been chosen using the Akaike information criterion. *** Significant at the 1% level.