GAUGING THE EFFECT OF INVESTOR SENTIMENT ON CRYPTOCURRENCY MARKET: AN ANALYSIS OF BITCOIN CURRENCY

【Author】 Mohsin, Muhammad; Naseem, Sobia; Ivascu, Larisa; Cioca, Lucian-Ionel; Sarfraz, Muddassar; Stanica, Nicolae Cristian

【Source】ROMANIAN JOURNAL OF ECONOMIC FORECASTING

【影响因子】0.963

【Abstract】The advocates of classical finance rebuffed investors' sentiment, but some behavioral finance researchers highlight the effects of sentiments on investments and asset pricing. Primarily this research measured the investors' sentiments relationship with Bitcoin returns by using the market data proxy approach. We construct a sentiment index that compressed five renowned sentiment proxies based on the principal component analysis. Regression analysis is used to check the relationship between investor sentiment and Bitcoin returns. The results demonstrate that the coefficient of sentiment index behaves positively significant at the level of 5%. This study also concludes that the constructed sentiment index fits the market data proxy approach and improves Bitcoin prediction through an empirical test for its reasonability.

【Keywords】Bitcoin returns; investor sentiment index; money flow index; Bitcoin index turnover; cryptocurrency market; financial market

【发表时间】2021

【收录时间】2022-02-25

【文献类型】期刊

【主题类别】

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