This study constructs a multi-factor
capital asset pricing model (CAPM) to analyze systematic risk and other
influential risk factors in the silver futures exchange-traded funds (silver
futures ETFs) market and then provides an analysis of precious metals
investments as a reference. Specifically, the volatility index (VIX) and the
real estate investment trusts (REITs) are used as influences of silver futures
on political and economic factors. In addition, we use text mining to capture
news events on the network into a Boolean matrix, which transforms unstructured
data into structured data. Further, the term frequency (TF) and inverse
document frequency (IDF) algorithm are applied to calculate the most important
keywords on the market and measure them in the model after a sentimental
evaluation. The empirical results show that the silver futures ETFs market is
indeed affected by market news, providing investors in this market with a
JEL classification numbers: C10, C13, G00, G10.
Keywords: Silver futures ETFs, Volatility index; Real estate
investment trusts, Text mining, Inverse document frequency.