Does investor sentiment drive the Bitcoin price?

Myriam Ben Osman (), Hela Mzoughi (), Khaled Guesmi () and Kamel Naoui ()
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Myriam Ben Osman: University of Manouba, Higher Business School of Tunis & LARIMRAF LR21ES29
Hela Mzoughi: FSEGT, University of Tunis El Manar & IFGT-FSEGT
Khaled Guesmi: Paris School of Business
Kamel Naoui: University of Manouba, Higher Business School of Tunis & LARIMRAF LR21ES29

Digital Finance, 2025, vol. 7, issue 3, No 6, 507-534

Abstract: Abstract This article examines the potential effect of investor sentiment on Bitcoin price based on the most-used measurement, the Volatility Uncertainty Index, and Fundstrat Global Advisors’ original Bitcoin Misery Index (BMX). By implementing the multiple threshold nonlinear ARDL model, we identify short- and long-run dynamic relationships between investor sentiment and Bitcoin price, along with four risk factors (EUR/USD exchange rate, MSCI developed markets index, MSCI emerging markets index, and Chicago Board Options Exchange Crude Oil ETF Volatility Index) over the period August 2011–August 2020. Our findings shed light on the symmetric and asymmetric impact of investor sentiment represented by the BMX, and the asymmetric impact of the VIX in both the short and long run. These findings clarify financial and crypto markets’ interdependencies as investor sentiment toward the traditional market impacts cryptocurrency price. Additionally, extreme changes in BMX (VIX) significantly affect the European exchange rate in the long run, while the energy volatility market has a significant impact on Bitcoin price. Our findings offer new insights for investors to make better operational investment strategies in Bitcoin.

Keywords: Bitcoin; Bitcoin Misery Index; Sentiment; Risk factors; Multi-NARDL (search for similar items in EconPapers)
JEL-codes: C3 C4 C5 G1 G4 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s42521-025-00150-7

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