Effects of COVID-19 on Investor Sentiment: Evidence from Commodity Futures Using Google Search Volume Index

IF 2.5 Q2 ECONOMICS Asia-Pacific Financial Markets Pub Date : 2024-07-02 DOI:10.1007/s10690-024-09474-7
Biplab Kumar Guru, Inder Sekhar Yadav, Rasmita Nayak
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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.

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COVID-19 对投资者情绪的影响:使用谷歌搜索量指数的商品期货证据
本研究利用谷歌搜索量指数研究了 Covid-19 引发的投资者情绪与纽约商品交易所上市的六种商品的每日期货波动率之间的关系。此外,本文还研究了 Covid-19 期间商品期货与投资者情绪之间的条件波动溢出效应。关联分析的证据表明,Covid-19 对市场参与者的情绪产生了不利影响,导致商品期货市场的过度波动。在所选的六种商品中,市场参与者的负面情绪与汽油期货波动之间的联系更为明显。此外,还观察到汇率波动增加了汽油、黄金、天然气和白银的商品期货波动。对商品期货和投资者情绪之间的条件波动溢出效应进行的实证分析表明,波动传导的周期性趋势表明,19 年科维德事件引发的经济和金融冲击会导致商品期货市场的剧烈波动。研究还发现,期货波动率总预测误差方差的 43.2% 是由于 Covid-19 的传染。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
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
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