{"title":"Effects of COVID-19 on Investor Sentiment: Evidence from Commodity Futures Using Google Search Volume Index","authors":"Biplab Kumar Guru, Inder Sekhar Yadav, Rasmita Nayak","doi":"10.1007/s10690-024-09474-7","DOIUrl":null,"url":null,"abstract":"<p>This work investigates the nexus between Covid-19 induced investor sentiment and daily futures volatility for six commodities listed in New York Mercantile Exchange, using the Google search volume index. Further, this work also examines the conditional volatility spillovers among commodity futures and investor sentiment during Covid-19. The evidence from nexus analysis suggest that Covid-19 has adversely affected the emotions of market participants leading to excess volatility in the commodity futures market. Among the six selected commodities, the nexus between negative sentiment of market participants and gasoline futures volatility was found to be more pronounced. Further, it was also observed that exchange rate volatility increases commodity futures volatility for gasoline, gold, natural gas and silver. The empirical analysis of conditional volatility spillovers among commodity futures and investor sentiment exhibited cyclical trends in volatility transmission suggesting Covid-19 induced economic and financial shock leads to abrupt fluctuations in the commodity futures market. The study also observed that 43.2% of total forecast error variance in futures volatility was due to contagion from Covid-19.</p>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.5000,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Financial Markets","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s10690-024-09474-7","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
This work investigates the nexus between Covid-19 induced investor sentiment and daily futures volatility for six commodities listed in New York Mercantile Exchange, using the Google search volume index. Further, this work also examines the conditional volatility spillovers among commodity futures and investor sentiment during Covid-19. The evidence from nexus analysis suggest that Covid-19 has adversely affected the emotions of market participants leading to excess volatility in the commodity futures market. Among the six selected commodities, the nexus between negative sentiment of market participants and gasoline futures volatility was found to be more pronounced. Further, it was also observed that exchange rate volatility increases commodity futures volatility for gasoline, gold, natural gas and silver. The empirical analysis of conditional volatility spillovers among commodity futures and investor sentiment exhibited cyclical trends in volatility transmission suggesting Covid-19 induced economic and financial shock leads to abrupt fluctuations in the commodity futures market. The study also observed that 43.2% of total forecast error variance in futures volatility was due to contagion from Covid-19.
期刊介绍:
The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering.
Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome.
Officially cited as: Asia-Pac Financ Markets