Do investor sentiments drive cryptocurrency prices?

• Main Authors: AKYILDIRIM, Erdinc, AYSAN, Ahmet Faruk, CEPNI, Oguzhan, DARENDELI, Pinar
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Cryptocurrency; Sentiment; Spillovers; TVP-VAR; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7671; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8670/viewcontent/akyildirim_et_al_do_investor_sentiments_drive_cryptocurrency_prices_acceptedversion.pdf
• Institution: Singapore Management University

This paper studies the dynamic network connectedness between cryptocurrency returns and sentiments using the novel cryptocurrency-specific MarketPsych sentiment data for 13 cryptocurrencies with the highest market capitalization. The results indicate the dominance of cryptocurrencies with higher market capitalization and information transmission from cryptocurrency returns to sentiments. Our results also show that Bitcoin is losing its dominance to alt-coins in return spillovers while still dominant in sentiment spillovers.