We examine the spillover effects between social media sentiments and market-implied volatilities among stock, bond, foreign exchange, and commodity markets. We find that information mainly spillovers from volatility to sentiment indices, with the VIX being the most significant net transmitter. Within each asset class, there is a more pronounced spillover from volatility to sentiment compared to the reverse, implying that a significant portion of investor sentiment is volatility-driven. This relationship intensifies in turbulent economic periods, such as during the Global Financial Crisis, Brexit, the US-China trade war, and the COVID-19 pandemic. Our analysis also reveals that sentiment indices can transition from net receivers to net transmitters of shocks during turbulent periods. This can be explained by the echo chamber effect, where social media echo prevailing news signals, and some investors interpret repeated signals as genuinely new information.

中文翻译：

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投资者情绪和波动性之间的溢出效应：社交媒体的作用


我们研究了社交媒体情绪与股票、债券、外汇和大宗商品市场之间市场隐含波动之间的溢出效应。我们发现信息主要是从波动性到情绪指数的溢出效应，其中 VIX 是最重要的净传输器。与相反，在每个资产类别中，从波动性到情绪的溢出效应更为明显，这意味着投资者情绪的很大一部分是由波动性驱动的。这种关系在全球金融危机、英国脱欧、美中贸易战和 COVID-19 大流行期间等经济动荡时期加剧。我们的分析还表明，在动荡时期，情绪指数可以从冲击的净接收者转变为净冲击传递者。这可以用回音室效应来解释，社交媒体与流行的新闻信号相呼应，一些投资者将重复的信号解释为真正的新信息。