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

Sayim M., My N. Q.

ANNALS OF FINANCIAL ECONOMICS, cilt.18, sa.2, 2023 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 18 Sayı: 2
  • Basım Tarihi: 2023
  • Doi Numarası: 10.1142/s2010495222420015
  • Dergi Adı: ANNALS OF FINANCIAL ECONOMICS
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus
  • Anahtar Kelimeler: Cryptocurrency, investor sentiment, VAR model, ASSET PRICES, STOCK, BITCOIN, RISK, INFLATION, EXCHANGE, MARKETS, NEWS, US
  • Marmara Üniversitesi Adresli: Evet

Özet

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.