A note on the relationship between Bitcoin price and sentiment: New evidence obtained from a cryptocurrency heist

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-04-11 DOI:10.1016/j.najef.2025.102432

Mingnan Li, Viktor Manahov, John Ashton

{"title":"A note on the relationship between Bitcoin price and sentiment: New evidence obtained from a cryptocurrency heist","authors":"Mingnan Li, Viktor Manahov, John Ashton","doi":"10.1016/j.najef.2025.102432","DOIUrl":null,"url":null,"abstract":"<div><div>This study utilises the Cryptocurrency Fear & Greed Index (CFGI) to analyse the bidirectional relationship between Bitcoin’s price and market sentiment during the KuCoin exchange heist. The time-varying Granger causality test reveals no significant bidirectional causality before the heist, but a strong bidirectional relationship emerges afterwards, indicating heightened interaction under increased market uncertainty. Furthermore, this relationship does not extend to other cryptocurrency heists unless they have an indirect impact on the Bitcoin market. Finally, the TVP-VAR-based connectedness approach analysis shows that the Bitcoin market panic induced by the KuCoin exchange heist has limited spillover effects on other cryptocurrency markets. Our findings help address gaps in understanding the bidirectional dynamics of the relationship between price and investor sentiment, providing valuable insights for managing Bitcoin trades and cryptocurrency portfolios during extreme market events.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"78 ","pages":"Article 102432"},"PeriodicalIF":3.8000,"publicationDate":"2025-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940825000725","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

Abstract

This study utilises the Cryptocurrency Fear & Greed Index (CFGI) to analyse the bidirectional relationship between Bitcoin’s price and market sentiment during the KuCoin exchange heist. The time-varying Granger causality test reveals no significant bidirectional causality before the heist, but a strong bidirectional relationship emerges afterwards, indicating heightened interaction under increased market uncertainty. Furthermore, this relationship does not extend to other cryptocurrency heists unless they have an indirect impact on the Bitcoin market. Finally, the TVP-VAR-based connectedness approach analysis shows that the Bitcoin market panic induced by the KuCoin exchange heist has limited spillover effects on other cryptocurrency markets. Our findings help address gaps in understanding the bidirectional dynamics of the relationship between price and investor sentiment, providing valuable insights for managing Bitcoin trades and cryptocurrency portfolios during extreme market events.

查看原文本刊更多论文

关于比特币价格与市场情绪之间关系的说明：从加密货币抢劫案中获得的新证据

本研究利用加密货币恐惧与贪婪指数（CFGI）来分析 KuCoin 交易所劫案期间比特币价格与市场情绪之间的双向关系。时变格兰杰因果检验表明，在抢劫发生之前，两者之间没有明显的双向因果关系，但在抢劫发生之后，两者之间出现了强烈的双向关系，这表明在市场不确定性增加的情况下，两者之间的相互作用增强了。此外，这种关系不会延伸到其他加密货币劫案，除非它们对比特币市场有间接影响。最后，基于 TVP-VAR 的关联性方法分析表明，KuCoin 交易所劫案引发的比特币市场恐慌对其他加密货币市场的溢出效应有限。我们的研究结果有助于弥补在理解价格与投资者情绪之间双向动态关系方面的不足，为在极端市场事件中管理比特币交易和加密货币投资组合提供有价值的见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.