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<p>This study investigates the interconnectedness between investor sentiment, based on Google Trends data, and various asset returns from 2017 to 2023. We employ two methodologies: Wavelet coherence analysis and the Diebold–Yilmaz Spillover Index. Using wavelet coherence, we confirm the leading role of investor sentiment, particularly during the COVID-19 pandemic and the geopolitical tensions from the Russia–Ukraine War. Our findings further reveal a negative impact of investor sentiment on the S&amp;P 500, Brent crude oil, wheat, and HelloGold. More precisely, during these crises, investor sentiment, MOEX, Nasdaq, natural gas, and Bitcoin acted as net volatility transmitters, while the S&amp;P 500, Brent crude oil, wheat, and HelloGold were net volatility receivers. However, during the Russia–Ukraine conflict, investor sentiment shifted from being a net transmitter of volatility to a net recipient. By analyzing dynamic linkages across various asset classes, this study enhances the understanding of the similarities and differences in information transmission. The results offer valuable insights for investors and portfolio managers, empowering them to develop strategies that are closely aligned with evolving market dynamics and to enhance portfolio resilience, especially during periods of heightened volatility.</p>

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Unveiling Co-Movements and Spillovers Across Financial, Cryptocurrency, and Commodity Markets: Insights from Google-Based Investor Sentiment

  • 期刊论文

  • 发表日期：

    2025年7月12日

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  • Hayet Soltani,
  • Mouna Boujelbène Abbes

摘要

This study investigates the interconnectedness between investor sentiment, based on Google Trends data, and various asset returns from 2017 to 2023. We employ two methodologies: Wavelet coherence analysis and the Diebold–Yilmaz Spillover Index. Using wavelet coherence, we confirm the leading role of investor sentiment, particularly during the COVID-19 pandemic and the geopolitical tensions from the Russia–Ukraine War. Our findings further reveal a negative impact of investor sentiment on the S&P 500, Brent crude oil, wheat, and HelloGold. More precisely, during these crises, investor sentiment, MOEX, Nasdaq, natural gas, and Bitcoin acted as net volatility transmitters, while the S&P 500, Brent crude oil, wheat, and HelloGold were net volatility receivers. However, during the Russia–Ukraine conflict, investor sentiment shifted from being a net transmitter of volatility to a net recipient. By analyzing dynamic linkages across various asset classes, this study enhances the understanding of the similarities and differences in information transmission. The results offer valuable insights for investors and portfolio managers, empowering them to develop strategies that are closely aligned with evolving market dynamics and to enhance portfolio resilience, especially during periods of heightened volatility.