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 language | English |
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Article number | 101920 |
Journal | Journal of International Financial Markets, Institutions & Money |
Volume | 91 |
Number of pages | 19 |
ISSN | 1042-4431 |
DOIs | |
Publication status | Published - Mar 2024 |
Bibliographical note
Published online: 4 January 2024Keywords
- Cryptocurrency
- Jumps
- Jump spillover
- Logistic regression
- News content