Do online attention and sentiment affect cryptocurrencies’ correlations?

Nektarios Aslanidis, Aurelio Fernandez Bariviera and Christos S. Savva

Research in International Business and Finance, 2024, vol. 71, issue C

Abstract: This paper adopts a versatile conditional correlation approach to explore daily seasonality in the major cryptocurrencies. Given the lack of clear fundamental value in this market and the active online profile of investors, the study also relates cryptocurrency cross-correlations to online market attention and sentiment. Our results highlight that while investor attention has a positive effect, sentiment has a much stronger negative impact on the correlations. These findings can offer interesting insights for investors and regulators, as the influence of market attention and sentiment on the correlations has important implications for portfolio diversification and market stability.

Keywords: Day-of-the-week effect; Dynamic conditional correlation; Cryptocurrencies; Volatility seasonality; Market attention; Market sentiment (search for similar items in EconPapers)
JEL-codes: G01 G10 G12 G22 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002812

DOI: 10.1016/j.ribaf.2024.102488

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