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 for this work

Department of Economics

Research output: Contribution to journal › Journal article › Research › 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.

Original language	English
Article number	109980
Journal	Economics Letters
Volume	206
Number of pages	6
ISSN	0165-1765
DOIs	https://doi.org/10.1016/j.econlet.2021.109980
Publication status	Published - Sept 2021

Bibliographical note

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

Keywords

Cryptocurrency
Sentiment
Spillovers
TVP-VAR

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@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",