A note on the relationship between Bitcoin price and sentiment: New evidence obtained from a cryptocurrency heist
Mingnan Li,
Viktor Manahov and
John Ashton
The North American Journal of Economics and Finance, 2025, vol. 78, issue C
Abstract:
This study utilises the Cryptocurrency Fear & Greed Index (CFGI) to analyse the bidirectional relationship between Bitcoin’s price and market sentiment during the KuCoin exchange heist. The time-varying Granger causality test reveals no significant bidirectional causality before the heist, but a strong bidirectional relationship emerges afterwards, indicating heightened interaction under increased market uncertainty. Furthermore, this relationship does not extend to other cryptocurrency heists unless they have an indirect impact on the Bitcoin market. Finally, the TVP-VAR-based connectedness approach analysis shows that the Bitcoin market panic induced by the KuCoin exchange heist has limited spillover effects on other cryptocurrency markets. Our findings help address gaps in understanding the bidirectional dynamics of the relationship between price and investor sentiment, providing valuable insights for managing Bitcoin trades and cryptocurrency portfolios during extreme market events.
Keywords: Sentiment; Bitcoin price; Cryptocurrency heist; Time-varying Granger causality test; TVP-VAR-based connectedness approach (search for similar items in EconPapers)
JEL-codes: G1 G12 G15 G18 (search for similar items in EconPapers)
Date: 2025
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940825000725
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000725
DOI: 10.1016/j.najef.2025.102432
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().