Good vibes only: The crypto-optimistic behavior

Rocco Caferra

Journal of Behavioral and Experimental Finance, 2020, vol. 28, issue C

Abstract: This paper aims at investigating the relationship between news-driven sentiments and the convergence of behavior in cryptocurrencies market, contributing to the existing literature in the field. The novelty stands in the relation set between the tone of news and returns dispersion. The average daily sentiment score deriving from a worldwide online news dataset has been exploited as a proxy of market humor, in the attempt to identify how emotions spread by the press are related to traders’ actions. By employing both Cross-sectional standard (CSSD) and absolute (CSAD) deviation, it is found that the rises and falls of optimism shape returns variability. Indeed, the paper evidences how an increase of news positivity is associated with a lower returns dispersion, evidencing the convergence of beliefs among investors.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303348

DOI: 10.1016/j.jbef.2020.100407

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