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
{"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":"20 1","pages":""},"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.

Abstract Image

查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
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。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
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
期刊最新文献
Do Bitcoin Shocks Dominate Other Cryptocurrencies? An Examination Through GARCH Based Dynamic Models Credit Scorecards & Forecasting Default Events – A Novel Story of Non-financial Listed Companies in Pakistan Cryptocurrency as a Slice in Investment Portfolio: Identifying Critical Antecedents and Building Taxonomy for Emerging Economy Exploring Herding Instincts Through the Lens of Adaptive Market Hypothesis: Insights from a Frontier Market In the Era of 4th Industrial Revolution- Are Technology-Based Assets and Green Equity Index Safe Investments with Developed and Emerging Market Index?
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1