Dynamic sentiment spillovers among crude oil, gold, and Bitcoin markets: Evidence from time and frequency domain analyses

Xianfang Su and Yong Li

PLOS ONE, 2020, vol. 15, issue 12, 1-26

Abstract: 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.

Date: 2020
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0242515

DOI: 10.1371/journal.pone.0242515

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