Do cryptocurrencies feel the music?

Sinda Hadhri ()
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Sinda Hadhri: UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University)

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Abstract: The aim of this paper is to examine the influence of global mood on cryptocurrencies trading activity. Following an original way, we construct a real-time language-free proxy of sentiment on the basis of songs investors choose to listen to. We use a sample of daily data spanning a period of four years and we find that our music-based measure is a reliable proxy of sentiment being responsive to mood swings of individuals. Interestingly, we show that music sentiment is negatively and significantly correlated with contemporaneous trading volume and price volatility, does not suffer from a recall bias, is not driven by any specific cryptocurrency and is robust to listeners' preferences. The effect is significantly persistent to up to four lags for price volatility and reverts at day 3 with respect to trading volume.

Keywords: Cryptocurrencies investor sentiment; mood; trading activity; Cryptocurrencies sentiment des investisseurs; humeur; activité de trading (search for similar items in EconPapers)
Date: 2023-10
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Published in International Review of Financial Analysis, 2023, 89, pp.102779. ⟨10.1016/j.irfa.2023.102779⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05148945

DOI: 10.1016/j.irfa.2023.102779

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