Do Investor Sentiments Drive Cryptocurrency Prices?

Erdinc Akyildirim*, Ahmet Faruk Aysan, Oguzhan Cepni, S. Pinar Ceyhan Darendeli

*Corresponding author af dette arbejde

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Abstract

This paper studies the dynamic network connectedness between cryptocurrency returns and sentiments using the novel cryptocurrency-specific MarketPsych sentiment data for 13 cryptocurrencies with the highest market capitalization. The results indicate the dominance of cryptocurrencies with higher market capitalization and information transmission from cryptocurrency returns to sentiments. Our results also show that Bitcoin is losing its dominance to alt-coins in return spillovers while still dominant in sentiment spillovers.
OriginalsprogEngelsk
Artikelnummer109980
TidsskriftEconomics Letters
Vol/bind206
Antal sider6
ISSN0165-1765
DOI
StatusUdgivet - sep. 2021

Bibliografisk note

Epub ahead of print. Published online: 8 Jul 2021.

Emneord

  • Cryptocurrency
  • Sentiment
  • Spillovers
  • TVP-VAR

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