Does Crypto Sentiment Extremity Widen Estimated Spreads? Evidence Depends on the Specification

Murad Farzulla

Papers from arXiv.org

Abstract: We examine whether extreme values of the Crypto Fear & Greed Index are associated with a daily high-low spread estimate for Bitcoin. The sample contains 2,896 BTC/USDT observations from February 2018 to January 2026. We find an unconditional extreme-minus-neutral gap of 61.99 basis points. After close-to-close realised-volatility-quintile demeaning it is 24.79 basis points, although none of the five separate quintile contrasts survives Holm correction. With quadratic realised-volatility and strictly lagged momentum controls, the HAC estimate is 11.81 basis points (95% CI [-2.31,25.93], p=.101). A fixed non-parametric stratification gives 20.44 basis points (p=.0195 under circular shifts), while separate models for a zero-floored estimate's incidence and positive magnitude are imprecise. The results therefore show only a descriptive, specification-dependent association. We conclude that they do not establish a stable or causal liquidity premium.

Date: 2026-02, Revised 2026-09
New Economics Papers: this item is included in nep-fmk and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://arxiv.org/pdf/2602.07018 Latest version (application/pdf)

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:arx:papers:2602.07018

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().