Economics at your fingertips  

The tail dependence structure between investor sentiment and commodity markets

Aktham Maghyereh and Hussein Abdoh

Resources Policy, 2020, vol. 68, issue C

Abstract: A growing body of literature considers investor sentiment as the partial driver of change in commodity prices. In contrast with previous studies that have almost exclusively focused on linear relationship, this empirical paper investigates the entire dynamic dependence of the quantile of investor sentiment and that of ten important commodities. To do so, we use the novel quantile cross-spectral dependence approach of Baruník and Kley (2019) and the nonparametric causality-in-quantiles test proposed by Balcilar et al. (2017a) over the period 1998–2018. Overall, the results show that the inter-dependence between sentiment and commodity differs according to return quantile and time frequency.

Keywords: Sentiment; Commodity; Quantile cross-spectral dependence; Causality-in-quantiles (search for similar items in EconPapers)
JEL-codes: C32 G41 Q02 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.resourpol.2020.101789

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-06-30
Handle: RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720302828