Do social media sentiments drive cryptocurrency intraday price volatility? New evidence from asymmetric TVP-VAR frequency connectedness measures

Suwan (Cheng) Long, Ioannis Chatziantoniou, David Gabauer and Brian Lucey

The European Journal of Finance, 2024, vol. 30, issue 13, 1470-1489

Abstract: In this paper, we investigate interdependencies between cryptocurrencies and investor sentiment by introducing the asymmetric TVP-VAR frequency connectedness approach. Our empirical results provide evidence of pronounced and time-varying interconnectedness between sentiment and cryptocurrency. In addition, we find that negative short-term interconnectedness dominates positive short-term interconnectedness until mid-2020 when this effect was reversed, persisting until the end of the sample period. While Ripple and Bitcoin are both found to be the main net transmitters of shocks, Stellar, Ethereum, and NEM are considered net receivers of shocks. Overall, our findings suggest that market sentiment is mainly driven by cryptocurrency volatility in both the short and the long run.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/1351847X.2024.2314085 (text/html)
Access to full text is restricted to subscribers.

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:taf:eurjfi:v:30:y:2024:i:13:p:1470-1489

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20

DOI: 10.1080/1351847X.2024.2314085

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().