Cross-Market Investor Sentiment of Energy Futures and Return Comovements

•This paper construct cross-market investor sentiment and cross-market returns of energy futures.•Cross-market investor sentiment and returns Granger-cause each other.•Cross-market investor sentiment has an important but asymmetric impact on the volatility of the energy futures market.•The asymmetric impact of cross-market investor sentiment on return volatility varies across segments of bear/bull energy markets. Investor sentiment in the energy futures of a single market might not be able to capture cross-market effects well. This paper considers multiple energy futures markets (crude oil, gasoline, etc.) in constructing cross-market sentiment and returns to capture the sentiment characteristics and overall dynamics of the energy futures market. The results show that (i) cross-market investor sentiment and returns Granger-cause each other, (ii) cross-market investor sentiment has an important but asymmetric impact on the volatility of the energy futures market, and (iii) the asymmetric impact of cross-market investor sentiment on return volatility varies across segments of bear/bull energy markets.