Do Investor Sentiments Drive Cryptocurrency Prices?

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

doi:10.1016/j.econlet.2021.109980

Do Investor Sentiments Drive Cryptocurrency Prices?

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

^*Corresponding author af dette arbejde

Økonomisk Institut

Burdur Mehmet Akif Ersoy University
Universität Zürich
Hamad Bin Khalifa University
Central Bank of the Republic of Turkey
Singapore Management University

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

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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.

Originalsprog	Engelsk
Artikelnummer	109980
Tidsskrift	Economics Letters
Vol/bind	206
Antal sider	6
ISSN	0165-1765
DOI	https://doi.org/10.1016/j.econlet.2021.109980
Status	Udgivet - sep. 2021

Bibliografisk note

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

Emneord

Cryptocurrency
Sentiment
Spillovers
TVP-VAR

Adgang til dokumentet

10.1016/j.econlet.2021.109980Licens: Ikke-specificeret

akyildirim_et_al_do_investor_sentiments_drive_cryptocurrency_prices_acceptedversionAccepteret manuskript, 1,1 MBLicens: CC BY-NC-ND

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Citationsformater

@article{dbe0b34dc28742e2bd51413812b95aa2,

title = "Do Investor Sentiments Drive Cryptocurrency Prices?",

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.",

keywords = "Cryptocurrency, Sentiment, Spillovers, TVP-VAR, Cryptocurrency, Sentiment, Spillovers, TVP-VAR",

author = "Erdinc Akyildirim and Aysan, \{Ahmet Faruk\} and Oguzhan Cepni and Darendeli, \{S. Pinar Ceyhan\}",

note = "Epub ahead of print. Published online: 8 Jul 2021.",

year = "2021",

month = sep,

doi = "10.1016/j.econlet.2021.109980",

language = "English",

volume = "206",

journal = "Economics Letters",