The Impact of Sentiment on Commodity Return and Volatility

Aktham Maghyereh, Hussein Abdoh, Mohammad Al-Shboul

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


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.

Original languageEnglish
Article number2050034
JournalReview of Pacific Basin Financial Markets and Policies
Issue number4
Publication statusPublished - Dec 2020


  • Investor sentiment
  • commodity
  • return
  • volatility

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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