Is Bitcoin rooted in confidence? – Unraveling the determinants of globalized digital currencies

Brahim Gaies, Mohamed Sahbi Nakhli, Jean Michel Sahut and Khaled Guesmi

Technological Forecasting and Social Change, 2021, vol. 172, issue C

Abstract: Although previous studies have shown the impact of sentiment on Bitcoin price, they have not produced clear and consistent empirical results regarding two main questions: how is sentiment measured and what are its effects on Bitcoin price over time? To address this gap, we develop an innovative empirical approach based on Bitcoin sentiment, drawing on trade data rather than judgments of individuals who are not actual Bitcoin users, as well as on the autoregressive distributed lag model and the nonlinear autoregressive distributed lag model, both of which capture the asymmetric effects of explanatory variables. In addition to revealing a significant impact of the Bitcoin Misery Index (BMI) on short- and long-term Bitcoin returns, this paper highlights the nonlinearity and asymmetry of this relationship in the short and long run, as well as the relevance of estimating Bitcoin sentiment using trade data.

Keywords: Bitcoin; Confidence; Sentiment; Cryptocurrencies; Money; Return; Volatility (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0040162521004704
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:tefoso:v:172:y:2021:i:c:s0040162521004704

DOI: 10.1016/j.techfore.2021.121038

Access Statistics for this article

Technological Forecasting and Social Change is currently edited by Fred Phillips

More articles in Technological Forecasting and Social Change from Elsevier
Bibliographic data for series maintained by Catherine Liu ().