One crash, too many: Global uncertainty, sentiment factors and cryptocurrency market

IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE
Rilwan Sakariyahu , Rodiat Lawal , Rasheed Adigun , Audrey Paterson , Sofia Johan
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引用次数: 0

Abstract

Recent studies document that cryptocurrencies offer an alternative store of value, medium of exchange and can be used to hedge against currency and price fluctuations. However, the frequent collapse of the crypto-market undermines its safe-haven characteristics, as investors’ fear and anxiety could intensify market volatility and trigger a financial crisis. Motivated by the current global vicissitudes, this study examines the impact of uncertainty and sentiment factors on price behaviour of cryptocurrencies. To estimate our model, we used daily, low, high and closing price data for major crypto projects, from January 2018 to January 2023. We show that economic and political uncertainty factors significantly drive crypto prices. Furthermore, the interaction between sentiment dynamics as expressed by investors on different social platforms has a significant adverse effect on the returns of the cryptocurrency market, and the impact is more pronounced for tokens within the same ecosystem. Using the asymmetric GARCH-MIDAS model and TVP-VAR, we also demonstrate the existence of a significant contagion among tokens within the same ecosystem when bad (or good) news occurs. Considering the massive unprotected losses incurred by crypto investors during crises, our results provide important insights into how portfolio managers can effectively design investment strategies.

一次崩盘,太多了:全球不确定性、情绪因素和加密货币市场
最近的研究表明,加密货币提供了另一种价值存储和交换媒介,并可用于对冲货币和价格波动。然而,加密货币市场的频繁崩盘削弱了其避险特性,因为投资者的恐惧和焦虑可能加剧市场波动并引发金融危机。受当前全球沧海桑田的影响,本研究探讨了不确定性和情绪因素对加密货币价格行为的影响。为了估算模型,我们使用了 2018 年 1 月至 2023 年 1 月期间主要加密货币项目的每日最低价、最高价和收盘价数据。我们发现,经济和政治不确定性因素极大地推动了加密货币的价格。此外,投资者在不同社交平台上表达的情绪动态之间的相互作用对加密货币市场的回报率有明显的不利影响,而且这种影响对同一生态系统中的代币更为明显。利用非对称 GARCH-MIDAS 模型和 TVP-VAR,我们还证明了当坏消息(或好消息)发生时,同一生态系统内的代币之间存在明显的传染效应。考虑到加密货币投资者在危机期间遭受的巨大无保障损失,我们的研究结果为投资组合经理如何有效设计投资策略提供了重要启示。
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来源期刊
CiteScore
6.60
自引率
10.00%
发文量
142
期刊介绍: International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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