Global Component of Sentiment in Futures Markets: Evidence from Covid-19 Pandemic

Authors

Abhinava Tripathi, Indian Institute of Technology Kanpur, India
Alok Dixit, Indian Institute of Management Lucknow, India

Abstract

We examine the impact of the global component of sentiment on the price return and volatility of 25 major futures market indices across the globe, during the Covid-19 pandemic. The global component of sentiment causes investor overreactions. These overreactions accelerate the fall in prices and contribute to the rising volatility levels. The futures prices revert, though gradually, to their fundamental values as information from more reliable sources becomes available. This leads to price recovery and lower volatility levels.

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Recommended Citation

Tripathi, Abhinava and Dixit, Alok (2023) "Global Component of Sentiment in Futures Markets: Evidence from Covid-19 Pandemic," American Business Review: Vol. 26: No. 2, Article 4.
DOI: 10.37625/abr.26.2.355-384
Available at: https://digitalcommons.newhaven.edu/americanbusinessreview/vol26/iss2/4

DOI

10.37625/abr.26.2.355-384