The Asymmetric Impact Of Investor Sentiment On Commodities Returns And Volatility

We investigate the effects of investor sentiment on returns and volatility of eight different commodities. Our findings suggest that sentiment has a predictive power on return and volatility of the commodities. Fundamentally, commodities return and volatility are positively associated with the sentiment. Furthermore, the empirical evidence suggests that the sentiment has a significant asymmetrical impact on volatilities such that negative sentiment has a significantly greater impact on volatility than does positive sentiment.