Not all words are equal: Sentiment and jumps in the cryptocurrency market

Ahmet Faruk Aysan, Massimiliano Caporin and Oguzhan Cepni

Journal of International Financial Markets, Institutions and Money, 2024, vol. 91, issue C

Abstract: This paper analyzes the relationship between price jumps and news sentiment in cryptocurrencies. We detect jumps at the intraday level and correlate their occurrence with sentiment-related events through logistic regressions. We show that the release of information increases the probability of price jumps. By examining the content of news stories, we find that sentiment dimensions limited to emotions or related to market fundamentals have more potential to result in price jumps than others, suggesting that “words are not all created equal”. Jump sensitivity to news sentiment varies across different coin characteristics.

Keywords: Cryptocurrency; Jumps; Jump spillover; Logistic regression; News content (search for similar items in EconPapers)
JEL-codes: C58 C63 G10 G14 G41 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889

DOI: 10.1016/j.intfin.2023.101920

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