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Do online attention and sentiment affect cryptocurrencies’ correlations?

Author

Listed:
  • Aslanidis, Nektarios
  • Bariviera, Aurelio F.
  • Savva, Christos S.

Abstract

This paper adopts a versatile conditional correlation approach to explore daily seasonality in the major cryptocurrencies. Given the lack of clear fundamental value in this market and the active online profile of investors, the study also relates cryptocurrency cross-correlations to online market attention and sentiment. Our results highlight that while investor attention has a positive effect, sentiment has a much stronger negative impact on the correlations. These findings can offer interesting insights for investors and regulators, as the influence of market attention and sentiment on the correlations has important implications for portfolio diversification and market stability.

Suggested Citation

  • Aslanidis, Nektarios & Bariviera, Aurelio F. & Savva, Christos S., 2024. "Do online attention and sentiment affect cryptocurrencies’ correlations?," Research in International Business and Finance, Elsevier, vol. 71(C).
    • Handle: RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002812
    DOI: 10.1016/j.ribaf.2024.102488
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    More about this item

    Keywords

    Day-of-the-week effect; Dynamic conditional correlation; Cryptocurrencies; Volatility seasonality; Market attention; Market sentiment;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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