The Impact of Sentiment on Commodity Return and Volatility
Aktham Maghyereh,
Hussein Abdoh () and
Mohammad Al-Shboul
Additional contact information
Hussein Abdoh: Department of Accounting and Finance, United Arab Emirates University, Al Ain, UAE
Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2020, vol. 23, issue 04, 1-34
Abstract:
This study empirically investigates the effect of investor sentiment on returns and volatility of eight commodities. The findings suggest that sentiment has a predictive power on these commodities’ return and volatility. Fundamentally, return and volatility are positively associated with sentiment, suggesting that investors in the commodity markets are irrational — entailing the existence of noise trading. The results confirm the prediction of the affect infusion model in which optimistic investors are willing to take more risks, thus, raising returns and volatility. Furthermore, sentiment has a significant asymmetrical impact on volatility, and negative sentiment has a significantly greater impact than positive sentiment.
Keywords: Investor sentiment; commodity; return; volatility (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:
Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219091520500344
Access to full text is restricted to subscribers
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:wsi:rpbfmp:v:23:y:2020:i:04:n:s0219091520500344
Ordering information: This journal article can be ordered from
DOI: 10.1142/S0219091520500344
Access Statistics for this article
Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee
More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().