Investor sentiment and Bitcoin relationship: A quantile-based analysis

【Author】 Mokni, Khaled; Bouteska, Ahmed; Nakhli, Mohamed Sahbi

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】This paper applies a quantile-based analysis to investigate the causal relationships between Bitcoin and investor sentiment by considering the possible effects of the ongoing COVID-19 pandemic. Such an analysis allows investigating the predictive power of investor sentiment (Bitcoin) on Bitcoin (investor sentiment) at different levels of the distributions. Results emphasize that only Bitcoin returns/volatility have significant predictive power on the investor sentiment whether investors are fear or greed before and over the COVID-19 period. Moreover, the COVID-19 crisis has no effect on the causal relationship between the two variables. Further analysis shows an asymmetric causality observed only during the pandemic period. Furthermore, the quantile autoregressive regression model shows a significant positive relationship between investor sentiment and Bitcoin returns.

【Keywords】Fear greed index; Bitcoin; Nonparametric causality; Quantiles; COVID-19

【发表时间】2022 APR

【收录时间】2022-06-18

【文献类型】理论性文章

【主题类别】

区块链治理-市场治理-数字货币