Abstract

This study aims to unveil the relationship between the lithium market and sentiment indicators across various levels: market-wide (VIX), industry-specific (DRIV), and individual perspectives (ChatGPT-extracted scores), and to assess their predictive power on lithium prices. Our analysis reveals the significant impact of three sentiments on lithium markets regarding impulse response. Furthermore, VIX primarily serves as a spillover transmitter while others act as receivers concerning spillover transmission. Lastly, we empirically demonstrate the predictive power of VIX, and combining VIX with DRIV further enhances predictive performance. These findings emphasize the importance of sentiments in the lithium market and offer valuable insights for industry stakeholders.