Unveiling the Co-Movements and Spillovers in Financial, Cryptocurrency and Commodity Markets: Insights from Googling Investors' Sentiment
Purpose: This study aims to investigate the interconnectedness patterns between investor sentiment, as reflected in Google search trends, and various asset returns, specifically over the period from 2017 to 2023.To achieve this, we combine two methodologies: wavelet coherence analysis and Diebold–Yilmaz Spillover Indexes. Design/Methodology/Approach: Using wavelet coherence model, we confirm the leading effect of googling investor sentiment, particularly during periods marked by unexpected health and geopolitical crises. Findings: The results indicate that investor sentiment negatively affects the S&P 500, Brent crude oil, wheat, and Hellogold. Specifically, the study reveals that during the COVID-19 and Russian-Ukraine war periods, investor sentiment, MOEX, Nasdaq, Natural-Gas and Bitcoin are net volatility transmitters, whereas S&P 500, US bonds, Brent-oil, wheat and hellogold are net volatility receivers. During the Russian-Ukraine war, the investor sentiment (ISent) shifted from being a net transmitter of volatility to a net recipient of volatility. Practical Implications: The findings offer valuable insights for investors and portfolio managers, aiding them in designing portfolio strategies that align with market dynamics and developing supportive strategies that enhance portfolio resilience and adaptability, especially in volatile market conditions. Originality/Value: This study analyses the dynamic connections between various asset classes and stock prices to better understand the similarities and differences in information transmission across these asset classes.