Investor sentiment and Bitcoin relationship: A quantile-based analysis

Khaled Mokni (), Ahmed Bouteska and Mohamed Sahbi Nakhli

The North American Journal of Economics and Finance, 2022, vol. 60, issue C

Abstract: This paper applies a quantile-based analysis to investigate the causal relationships between Bitcoin and investor sentiment by considering the possible effects of the ongoing COVID-19 pandemic. Such an analysis allows investigating the predictive power of investor sentiment (Bitcoin) on Bitcoin (investor sentiment) at different levels of the distributions. Results emphasize that only Bitcoin returns/volatility have significant predictive power on the investor sentiment whether investors are fear or greed before and over the COVID-19 period. Moreover, the COVID-19 crisis has no effect on the causal relationship between the two variables. Further analysis shows an asymmetric causality observed only during the pandemic period. Furthermore, the quantile autoregressive regression model shows a significant positive relationship between investor sentiment and Bitcoin returns.

Keywords: Fear greed index; Bitcoin; Nonparametric causality; Quantiles; COVID-19 (search for similar items in EconPapers)
JEL-codes: C22 C58 G15 G41 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000171

DOI: 10.1016/j.najef.2022.101657

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