Virtual Commodities and Futures Markets of Tangible Commodities
研究了11个有形和虚拟商品市场在宏观经济波动下的信息传播，发现市场剧烈波动时各商品间信息传播增强，且比特币信息传播变化可预示市场转折点。
ABSTRACT This paper explores information dissemination under macroeconomic conditions and market performance across various commodity markets. It includes 11 markets, including tangible and virtual commodities, of which the tangible markets are distinguished into futures markets of four different commodity sectors (energy commodities, agricultural products, livestock, and precious metals), while the virtual markets are represented by cryptocurrency. The results show that when the economy is in a period of high volatility, that is, when commodity markets tend to experience a sharp rise (bubble) or a sharp fall (crash), the information dissemination level between various commodities increases. This paper also uses Social Network Analysis to analyze information dissemination channels under different circumstances and finds that regardless of economic conditions, the commodity market that dominates the dissemination function differs whether prices are rising or falling. Changes in the effect of Bitcoin's information dissemination could act as a signal of a turning point in these markets.