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.