Do investor sentiments drive cryptocurrency prices?

Erdinc Akyildirim, Ahmet Aysan, Oguzhan Cepni and Sanli Ceyhan Darendeli

Economics Letters, 2021, vol. 206, issue C

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

Keywords: Cryptocurrency; Sentiment; Spillovers; TVP-VAR (search for similar items in EconPapers)
JEL-codes: C21 C22 G11 G14 G17 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002573

DOI: 10.1016/j.econlet.2021.109980

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