Investors' sentiments and the dynamic connectedness between cryptocurrency and precious metals markets

【Author】 Fasanya, Ismail O.; Oyewole, Oluwatomisin J.; Oliyide, Johnson A.

【Source】QUARTERLY REVIEW OF ECONOMICS AND FINANCE

【影响因子】4.324

【Abstract】The connection between the cryptocurrency and precious metal markets has attracted a lot of interest among academics, investors, and policymakers. The focus of this paper is to examine the role of bullish, neutral, and bearish investors' sentiments on the connection between the five (5) most traded crypto-currencies and the precious metals market. The following findings are perceptible from our analyses. First, in the spillover tests, there exists a significant high level of connection between the two markets. Second, the spillover results also reveal that tetherum and silver are net receivers of the shocks, while most of the cryptocurrencies are net transmitters of the volatility. Third, the BDS test shows strong evidence of non -linearity is a very crucial factor to be put into consideration when examining the role of investors' senti-ments on the interactions between the cryptocurrency and precious metals markets. Fourth, the non -parametric causality-in-quantile test confirms that the connectedness between the cryptocurrency and precious metal markets is speculation driven. These results have important policy implications for pol-icymakers and market participants.(c) 2022 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

【Keywords】Cryptocurrency; Investors sentiments; Precious metals; Non-linearity; Causality-in-quantiles

【发表时间】2022 NOV

【收录时间】2022-09-22

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析