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Not all words are equal: Sentiment and jumps in the cryptocurrency market

Author

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  • Aysan, Ahmet Faruk
  • Caporin, Massimiliano
  • Cepni, Oguzhan

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.

Suggested Citation

  • Aysan, Ahmet Faruk & Caporin, Massimiliano & Cepni, Oguzhan, 2024. "Not all words are equal: Sentiment and jumps in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    • Handle: RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889
    DOI: 10.1016/j.intfin.2023.101920
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    More about this item

    Keywords

    Cryptocurrency; Jumps; Jump spillover; Logistic regression; News content;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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