Not All Words Are Equal: Sentiment and Jumps in the Cryptocurrency Market

Ahmet Faruk Aysan, Massimiliano Caporin, Oguzhan Cepni*

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review

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Abstract

This paper analyzes the relationship between price jumps and news sentiment in cryptocurrencies. We detect jumps at the intraday level and correlate their occurrence with sentiment-related events through logistic regressions. We show that the release of information increases the probability of price jumps. By examining the content of news stories, we find that sentiment dimensions limited to emotions or related to market fundamentals have more potential to result in price jumps than others, suggesting that “words are not all created equal”. Jump sensitivity to news sentiment varies across different coin characteristics.
Original languageEnglish
Article number101920
JournalJournal of International Financial Markets, Institutions & Money
Volume91
Number of pages19
ISSN1042-4431
DOIs
Publication statusPublished - Mar 2024

Bibliographical note

Published online: 4 January 2024

Keywords

  • Cryptocurrency
  • Jumps
  • Jump spillover
  • Logistic regression
  • News content

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