Cryptocurrencies' Price Crash Risk and Crisis Sentiment

【Author】 Anastasiou, Dimitrios; Ballis, Antonis; Drakos, Konstantinos

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We examine the effect of crisis sentiment on cryptocurrencies' price crash risk. We show that cryptocurrencies' price crash risk is positively related to the FEARS index, indicating that a higher crisis sentiment by investors increases cryptocurrencies' price crash risk. Our findings advance the understanding of the consequences of investor sentiment on the cryptocurrency market.

【Keywords】Cryptocurrencies; Price Crash Risk; Investors' Crisis Sentiment; Google Trends; FEARS Index

【发表时间】2021 OCT

【收录时间】2022-01-01

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