Sentiment Matters: The effect of news-media on spillovers among cryptocurrency returns
(2024)
Journal Article
Akyildirim, E., Aysan, A. F., Cepni, O., & Serbest, Ö. (2024). Sentiment Matters: The effect of news-media on spillovers among cryptocurrency returns. European Journal of Finance, 30(14), 1577-1613. https://doi.org/10.1080/1351847X.2024.2323454
This paper explores the relationship between news media sentiment and spillover effects in the cryptocurrency market. By employing a time-varying parameter vector autoregressive model, we initially develop measures of spillover specific to individual... Read More about Sentiment Matters: The effect of news-media on spillovers among cryptocurrency returns.