Emotional spillovers in the cryptocurrency market

Md Iftekhar Hasan Chowdhury, Mudassar Hasan, Elie Bouri and Yayan Tang

Journal of Behavioral and Experimental Finance, 2024, vol. 41, issue C

Abstract: Using 10 significant cryptocurrencies, we construct emotional spillovers and provide inferences about the transmission of fear and greed shocks. The results show intense emotional bonding signifying a high level of cryptocurrency interdependence through the sentiment channel of crypto traders and investors. The amplitude of idiosyncratic (own) connectedness increases significantly for most cryptocurrencies in their greed phase, implying that positive investor sentiment is more substantial than negative sentiment in driving the trading of individual cryptocurrencies. Though market conditions and the pandemic alter the role of most cryptocurrencies, some cryptocurrencies display persistence. Ethereum cash and, to some extent, Ripple remain considerably isolated, whereas Ethereum and Dash remain highly interlocked with the rest of the cryptocurrencies. Dash is the leading net transmitter, whereas Ripple is the leading net receiver of fear and greed shocks.

Keywords: Cryptocurrencies; Emotional spillover Analysis; Fear & Greed; Time-varying parameter vector autoregression (TVP-VAR) connectedness; COVID-19 (search for similar items in EconPapers)
JEL-codes: C20 F10 G10 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635023000928

DOI: 10.1016/j.jbef.2023.100878

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