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

Author

Listed:
  • Biplab Kumar Guru

    (Rama Devi Women’s University)

  • Inder Sekhar Yadav

    (Indian Institute of Technology Kharagpur)

  • Rasmita Nayak

    (Institute of Economic Growth
    Nirma University)

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.

Suggested Citation

  • Biplab Kumar Guru & Inder Sekhar Yadav & Rasmita Nayak, 2025. "Effects of COVID-19 on Investor Sentiment: Evidence from Commodity Futures Using Google Search Volume Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(3), pages 871-891, September.
    • Handle: RePEc:kap:apfinm:v:32:y:2025:i:3:d:10.1007_s10690-024-09474-7
    DOI: 10.1007/s10690-024-09474-7
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