Sentiment disagreement and bitcoin price fluctuations: a psycholinguistic approach

【Author】 Ahn, Yongkil; Kim, Dongyeon

【Source】APPLIED ECONOMICS LETTERS

【影响因子】1.287

【Abstract】We investigate the extent to which Bitcoin price fluctuations are associated with investors' sentiment disagreement. We employ three textual sentiment analysis techniques: 1) a Python library offered by the Computational Linguistics and Psycholinguistics Research Center; 2) Loughran and McDonald's (2011) dictionary; and 3) semantic orientation by the point-wise mutual information method. The results show that investors' attention and sentiment disagreement induce extremely high volatility and jumps in Bitcoin prices. These findings complement existing studies on how investors' sentiment manifests in asset prices.

【Keywords】Bitcoin; computational linguistics; attention; disagreement

【发表时间】2019 11-Mar

【收录时间】2022-01-02

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