Do investor sentiments drive cryptocurrency prices?

Akyildirim, Erdinc; Aysan, Ahmet Faruk; Cepni, Oguzhan; Ceyhan Darendeli, S. Pinar

Abstract

This paper studies the dynamic network connectedness between cryptocurrency returns and sentiments using the novel cryptocurrency-specific MarketPsych sentiment data for 13 cryptocur-rencies with the highest market capitalization. The results indicate the dominance of cryptocurren-cies 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.

Citation

Akyildirim, E., Aysan, A. F., Cepni, O., & Ceyhan Darendeli, S. P. (2021). Do investor sentiments drive cryptocurrency prices?. Economics Letters, 206, Article 109980. https://doi.org/10.1016/j.econlet.2021.109980

• Journal Article Type: Article
• Acceptance Date: Jun 30, 2021
• Online Publication Date: Jul 8, 2021
• Publication Date: 2021-09
• Deposit Date: Oct 24, 2024
• Publicly Available Date: Oct 24, 2024
• Journal: Economics Letters
• Print ISSN: 0165-1765
• Electronic ISSN: 1873-7374
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 206
• Article Number: 109980
• DOI: https://doi.org/10.1016/j.econlet.2021.109980
• Keywords: Cryptocurrency; Sentiment; Spillovers
• Public URL: https://nottingham-repository.worktribe.com/output/40865330
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S0165176521002573?via%3Dihub