An Analysis of the U.S. Individual Investor Sentiment Influence on Cryptocurrency Returns and Volatility

Mustafa Sayim and Nguyen Quang My
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Mustafa Sayim: Faculty of Business Administration, Marmara University, Istanbul, Turkey
Nguyen Quang My: ��California School of Management and Leadership, Alliant International University, San Diego, CA, USA

Annals of Financial Economics (AFE), 2023, vol. 18, issue 02, 1-20

Abstract: In this research, the U.S. investor sentiment effect on cryptocurrency returns and volatility is examined by separating it into irrational and rational parts. According to the data, an unforeseen rise in the rational part of U.S. individual investor attitude influences cryptocurrency returns statistically and positively. In other words, rational sentiment can result in rising cryptocurrency returns. Additionally, a positive significant association exists between cryptocurrency volatility and the rational part of the individual U.S. investor sentiment. The findings confirm the hypothesis that the behavior of rational investors who utilize and study the impact of economic factors on asset prices reduces cryptocurrency volatility.

Keywords: Cryptocurrency; investor sentiment; VAR model (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1142/S2010495222420015

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