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Do investor sentiments drive cryptocurrency prices?

Author

Listed:
  • Akyildirim, Erdinc
  • Aysan, Ahmet Faruk
  • Cepni, Oguzhan
  • Darendeli, S. Pinar Ceyhan

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.

Suggested Citation

  • Akyildirim, Erdinc & Aysan, Ahmet Faruk & Cepni, Oguzhan & Darendeli, S. Pinar Ceyhan, 2021. "Do investor sentiments drive cryptocurrency prices?," Economics Letters, Elsevier, vol. 206(C).
    • Handle: RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002573
    DOI: 10.1016/j.econlet.2021.109980
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Cryptocurrency; Sentiment; Spillovers; TVP-VAR;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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