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

Biplab Kumar Guru (), Inder Sekhar Yadav () and Rasmita Nayak ()
Additional contact information
Biplab Kumar Guru: Rama Devi Women’s University
Inder Sekhar Yadav: Indian Institute of Technology Kharagpur
Rasmita Nayak: Institute of Economic Growth

Asia-Pacific Financial Markets, 2025, vol. 32, issue 3, No 5, 891 pages

Abstract: 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.

Keywords: Covid-19; Investor sentiment; Google search volume index; Commodity futures; Volatility spillovers (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10690-024-09474-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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: https://EconPapers.repec.org/RePEc:kap:apfinm:v:32:y:2025:i:3:d:10.1007_s10690-024-09474-7

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

DOI: 10.1007/s10690-024-09474-7

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().