From whales to waves: Social media sentiment, volatility, and whales in cryptocurrency markets

The British Accounting Review Pub Date : 2025-05-16 DOI:10.1016/j.bar.2025.101682

Suwan(Cheng) Long, Ying Xie, Zhengyuan Zhou, Brian Lucey, Andrew Urquhart

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Abstract

This paper examines the relationship between cryptocurrency market dynamics and investor sentiment, employing advanced techniques like time-variant Granger causality and asymmetric time-varying parameter vector autoregression (TVP-VAR) frequency connectivity. We create unique sentiment analysis tools, including a custom cryptocurrency sentiment lexicon, to deeply analyze content in the cryptocurrency domain, particularly focusing on investor discussions and viewpoints. Our findings demonstrate a significant, evolving link between market sentiment and cryptocurrency movements. A key observation is that the volatility of shock transmission is tightly connected to major market events, often influenced by large-scale investors, or “whales”. Our study indicates that market sentiment consistently affects both short- and long-term cryptocurrency volatility, underlining the crucial influence of investor sentiment in driving the dynamics of the cryptocurrency market. This underscores the importance of understanding investor sentiment for predicting and navigating the cryptocurrency market.

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从鲸鱼到浪潮：社交媒体情绪、波动性和加密货币市场中的鲸鱼

本文研究了加密货币市场动态与投资者情绪之间的关系，采用了时变格兰杰因果关系和非对称时变参数向量自回归（TVP-VAR）频率连通性等先进技术。我们创建了独特的情绪分析工具，包括自定义的加密货币情绪词典，以深入分析加密货币领域的内容，特别是关注投资者的讨论和观点。我们的研究结果表明，市场情绪与加密货币走势之间存在着重要的、不断发展的联系。一个关键的观察结果是，冲击传导的波动性与重大市场事件密切相关，这些事件往往受到大型投资者或“鲸鱼”的影响。我们的研究表明，市场情绪持续影响短期和长期加密货币波动，强调投资者情绪在推动加密货币市场动态方面的关键影响。这强调了了解投资者情绪对于预测和引导加密货币市场的重要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The British Accounting Review

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