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Sentiment disagreement and bitcoin price fluctuations: a psycholinguistic approach

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  • Yongkil Ahn
  • Dongyeon Kim

Abstract

We investigate the extent to which Bitcoin price fluctuations are associated with investors’ sentiment disagreement. We employ three textual sentiment analysis techniques: 1) a Python library offered by the Computational Linguistics and Psycholinguistics Research Center; 2) Loughran and McDonald’s (2011) dictionary; and 3) semantic orientation by the point-wise mutual information method. The results show that investors’ attention and sentiment disagreement induce extremely high volatility and jumps in Bitcoin prices. These findings complement existing studies on how investors’ sentiment manifests in asset prices.

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  • Yongkil Ahn & Dongyeon Kim, 2020. "Sentiment disagreement and bitcoin price fluctuations: a psycholinguistic approach," Applied Economics Letters, Taylor & Francis Journals, vol. 27(5), pages 412-416, March.
    • Handle: RePEc:taf:apeclt:v:27:y:2020:i:5:p:412-416
    DOI: 10.1080/13504851.2019.1619013
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    Cited by:

    1. Marco Patacca & Sergio Focardi, 2021. "The Quantitative Easing Bursts Bitcoin Price," Accounting and Finance Research, Sciedu Press, vol. 10(3), pages 1-65, August.
    2. Shahzad, Syed Jawad Hussain & Anas, Muhammad & Bouri, Elie, 2022. "Price explosiveness in cryptocurrencies and Elon Musk's tweets," Finance Research Letters, Elsevier, vol. 47(PB).
    3. Ahn, Yongkil & Kim, Dongyeon, 2023. "Visceral emotions and Bitcoin trading," Finance Research Letters, Elsevier, vol. 51(C).
    4. Ahn, Yongkil, 2022. "Asymmetric tail dependence in cryptocurrency markets: A Model-free approach," Finance Research Letters, Elsevier, vol. 47(PB).
    5. Hajek, Petr & Hikkerova, Lubica & Sahut, Jean-Michel, 2023. "How well do investor sentiment and ensemble learning predict Bitcoin prices?," Research in International Business and Finance, Elsevier, vol. 64(C).
    6. Joseph J. French, 2021. "#Bitcoin, #COVID-19: Twitter-Based Uncertainty and Bitcoin Before and during the Pandemic," IJFS, MDPI, vol. 9(2), pages 1-7, May.
    7. Gaies, Brahim & Nakhli, Mohamed Sahbi & Sahut, Jean Michel & Guesmi, Khaled, 2021. "Is Bitcoin rooted in confidence? – Unraveling the determinants of globalized digital currencies," Technological Forecasting and Social Change, Elsevier, vol. 172(C).
    8. A. V. Biju & Aparna Merin Mathew & P. P. Nithi Krishna & M. P. Akhil, 2022. "Is the future of bitcoin safe? A triangulation approach in the reality of BTC market through a sentiments analysis," Digital Finance, Springer, vol. 4(4), pages 275-290, December.

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