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

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  • Fasanya, Ismail O.
  • Oyewole, Oluwatomisin J.
  • Oliyide, Johnson A.

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 cryptocurrencies 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' sentiments on the interactions between the cryptocurrency and precious metals markets. Fourth, the nonparametric 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 policymakers and market participants.

Suggested Citation

  • Fasanya, Ismail O. & Oyewole, Oluwatomisin J. & Oliyide, Johnson A., 2022. "Investors' sentiments and the dynamic connectedness between cryptocurrency and precious metals markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 347-364.
    • Handle: RePEc:eee:quaeco:v:86:y:2022:i:c:p:347-364
    DOI: 10.1016/j.qref.2022.08.009
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    More about this item

    Keywords

    Cryptocurrency; Investors sentiments; Precious metals; Non-linearity; Causality-in-quantiles;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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