Sentiment spillover and price dynamics: Information flow in the cryptocurrency and stock market

【Author】 Caferra, Rocco

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】This study examines the sentiment-returns relationship in both stock (S & P500) and cryptocurrency (Bitcoin) markets. An explorative wavelet analysis evidences period of episodic interconnectedness across different data frequencies. Therefore, Transfer Entropy (ET) measures remark the relative statistical significance, frequently outperforming traditional (VAR) estimates. In particular, ET methods successfully identify the mediating role of sentiments in connecting the two different markets. Hence, it is discussed how the potential cryptocurrencies indirect linkage with real economy moves through market sentiments. (C) 2022 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrencies; Information diffusion; Sentiment; Financial market

【发表时间】2022 MAY 1

【收录时间】2022-06-26

【文献类型】理论性文章

【主题类别】

区块链治理-市场治理-数字货币