School of Big Data Application and Economics, Guizhou University of Finance and Economics, Guiyang, P. R. China.
PLoS One. 2020 Dec 3;15(12):e0242515. doi: 10.1371/journal.pone.0242515. eCollection 2020.
This paper examines the sentiment spillovers among oil, gold, and Bitcoin markets by employing spillovers index methods in a time-frequency framework. We find that the total sentiment spillover among crude oil, gold and Bitcoin markets is time-varying and is greatly affected by major market events. The directional sentiment spillovers are also time-varying. On average, the Bitcoin market is the major transmitter of directional sentiment spillovers, whereas the crude oil and gold markets are the major receivers. In particular, the sentiment spillover effects are major created at high-frequency components, implying that the markets rapidly process the sentiment spillover effects and the shock is transmitted over the short-term. Moreover, we also find that the sentiment spillover effects differ significantly in term of intensity and direction when compared with return and volatility spillover effects. The present study has certain applications for investors and policymakers.
本文通过时频框架中的溢出指数方法，考察了石油、黄金和比特币市场之间的情绪溢出。我们发现，原油、黄金和比特币市场之间的总情绪溢出是时变的，并且受到重大市场事件的极大影响。方向性情绪溢出也是时变的。平均而言，比特币市场是方向性情绪溢出的主要传导者，而原油和黄金市场是主要的接受者。特别是，情绪溢出效应主要在高频成分中产生，这意味着市场迅速处理情绪溢出效应，冲击在短期传递。此外，我们还发现，与收益和波动性溢出效应相比，情绪溢出效应在强度和方向上存在显著差异。本研究对投资者和政策制定者具有一定的应用价值。
