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Cryptocurrencies’ Price Crash Risk and Crisis Sentiment

Dimitris Anastasiou (), Antonis Ballis and Konstantinos Drakos ()

Finance Research Letters, 2021, vol. 42, issue C

Abstract: We examine the effect of crisis sentiment on cryptocurrencies’ price crash risk. We show that cryptocurrencies’ price crash risk is positively related to the FEARS index, indicating that a higher crisis sentiment by investors increases cryptocurrencies’ price crash risk. Our findings advance the understanding of the consequences of investor sentiment on the cryptocurrency market.

Keywords: Cryptocurrencies; Price Crash Risk; Investors’ Crisis Sentiment; Google Trends; FEARS Index (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:42:y:2021:i:c:s154461232100009x

DOI: 10.1016/j.frl.2021.101928

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