A U-shaped relationship between the crypto fear-greed index and the price synchronicity of cryptocurrencies

Jying-Nan Wang, Hung-Chun Liu and Yuan-Teng Hsu

Finance Research Letters, 2024, vol. 59, issue C

Abstract: In this study, we use intraday data on Bitcoin, Ethereum, Litcoin, and Monero, traded on the Bitfinex exchange, to investigate the impact of the crypto fear and greed index (FGI) on the pairwise price synchronicity of these cryptocurrencies. Based on data from February 2018 to June 2023, our results show that the relationship between investors’ collective sentiment (the FGI) and price synchronicity (as measured by the realized correlation) exhibits a U-shaped pattern rather than a linear one. This is the first study to document a U-shaped relationship between FGI-based online investor sentiment and the price synchronicity of cryptocurrencies.

Keywords: Fear and greed index; Price synchronicity; U-shaped relationship; Cryptocurrency; Realized correlation (search for similar items in EconPapers)
JEL-codes: C14 C22 G14 G15 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011352

DOI: 10.1016/j.frl.2023.104763

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