The tail dependence structure between investor sentiment and commodity markets

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.