Bitcoin returns and YouTube news: a behavioural time series analysis

Pierre Fay, David Bourghelle and Fredj Jawadi

Applied Economics, 2025, vol. 57, issue 45, 7215-7233

Abstract: This study investigates whether investor’s sentiment and attention information collected via YouTube can improve bitcoin return forecasts. Accordingly, we collected daily data over the period 2017–2023, covering calm and turbulent periods marked by different types and episodes of emotions. Unlike previous studies, we used YouTube videos to propose two sentiment proxies: investor attention to YouTube (daily number of YouTube video views) and investor sentiment on YouTube (number of positive and negative videos on YouTube). Interestingly, we break down both attention and sentiment per subject. Econometrically, we assess lead-lag effects between sentiment/attention and bitcoin return using causality tests and Vector Auto-regressive (VAR) model. We also evaluate the forecasting power of YouTube attention/sentiment data using a deep learning LSTM model. Our study shows two main results. First, we find lead-lag effects between bitcoin returns and per subject investor’s attention and sentiment proxies. Second, we show that our deep learning LSTM model relying on the information provided by attention and sentiment supplants benchmark Buy and Hold Strategy to forecast future bitcoin returns.

Date: 2025
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DOI: 10.1080/00036846.2024.2387870

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