Interactions between investors' fear and greed sentiment and Bitcoin prices

【Author】 Gaies, Brahim; Nakhli, Mohamed Sahbi; Sahut, Jean -Michel; Schweizer, Denis

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】This paper examines the relationship between investor fear in the cryptocurrency market and Bitcoin prices by considering the potential effects of the ongoing COVID-19 pandemic during the period of May 5, 2018 and December 10, 2020. The existence of structural changes in the time series for the full sample reveals a non-constant causality between fear sentiment and Bitcoin prices, which leads us to apply a bootstrap rolling window Granger causality test. Our results show that both negative and positive interactions between fear sentiment and Bitcoin prices occur during several subperiods. The nature of these interactions changes significantly before and during the pandemic. Thus, we contribute to the fast-growing literature on the financial effects of the COVID-19 global pandemic, as well as to the debate on whether to classify Bitcoin as a new asset, speculative investment, currency, or safe haven asset.

【Keywords】Bitcoin; COVID-19; Cryptocurrency; Fear; Globalization

【发表时间】2023 JUL

【收录时间】2023-09-06

【文献类型】

【主题类别】

--