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.

中文翻译：

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情绪对商品回报和波动的影响

本研究实证研究了投资者情绪对八种商品的回报和波动性的影响。研究结果表明，情绪对这些商品的回报和波动具有预测能力。从根本上说，回报和波动性与情绪呈正相关，这表明大宗商品市场的投资者是非理性的——这意味着存在噪音交易。结果证实了情感注入模型的预测，在该模型中，乐观的投资者愿意承担更多风险，从而提高回报和波动性。此外，情绪对波动性有显着的不对称影响，负面情绪的影响比正面情绪的影响要大得多。