An Analysis of the U.S. Individual Investor Sentiment Influence on Cryptocurrency Returns and Volatility

【Author】 Sayim, Mustafa; My, Nguyen Quang

【Source】ANNALS OF FINANCIAL ECONOMICS

【影响因子】0.000

【Abstract】In this research, the U.S. investor sentiment effect on cryptocurrency returns and volatility is examined by separating it into irrational and rational parts. According to the data, an unforeseen rise in the rational part of U.S. individual investor attitude influences cryptocurrency returns statistically and positively. In other words, rational sentiment can result in rising cryptocurrency returns. Additionally, a positive significant association exists between cryptocurrency volatility and the rational part of the individual U.S. investor sentiment. The findings confirm the hypothesis that the behavior of rational investors who utilize and study the impact of economic factors on asset prices reduces cryptocurrency volatility.

【Keywords】Cryptocurrency; investor sentiment; VAR model

【发表时间】

【收录时间】2023-01-02

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币