The tail dependence structure between investor sentiment and commodity markets

Research output: Contribution to journalArticlepeer-review

21 Citations (Scopus)


A growing body of literature considers investor sentiment as the partial driver of change in commodity prices. In contrast with previous studies that have almost exclusively focused on linear relationship, this empirical paper investigates the entire dynamic dependence of the quantile of investor sentiment and that of ten important commodities. To do so, we use the novel quantile cross-spectral dependence approach of Baruník and Kley (2019) and the nonparametric causality-in-quantiles test proposed by Balcilar et al. (2017a) over the period 1998–2018. Overall, the results show that the inter-dependence between sentiment and commodity differs according to return quantile and time frequency.

Original languageEnglish
Article number101789
JournalResources Policy
Publication statusPublished - Oct 2020


  • Causality-in-quantiles
  • Commodity
  • Quantile cross-spectral dependence
  • Sentiment

ASJC Scopus subject areas

  • Sociology and Political Science
  • Economics and Econometrics
  • Management, Monitoring, Policy and Law
  • Law


Dive into the research topics of 'The tail dependence structure between investor sentiment and commodity markets'. Together they form a unique fingerprint.

Cite this