并非所有言论都是平等的：加密货币市场的情绪与跳跃

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-04 DOI:10.1016/j.intfin.2023.101920

Ahmet Faruk Aysan , Massimiliano Caporin , Oguzhan Cepni

{"title":"并非所有言论都是平等的：加密货币市场的情绪与跳跃","authors":"Ahmet Faruk Aysan , Massimiliano Caporin , Oguzhan Cepni","doi":"10.1016/j.intfin.2023.101920","DOIUrl":null,"url":null,"abstract":"<div><p>This paper analyzes the relationship between price jumps and news sentiment in cryptocurrencies. We detect jumps at the intraday level and correlate their occurrence with sentiment-related events through logistic regressions. We show that the release of information increases the probability of price jumps. By examining the content of news stories, we find that sentiment dimensions limited to emotions or related to market fundamentals have more potential to result in price jumps than others, suggesting that “words are not all created equal”. Jump sensitivity to news sentiment varies across different coin characteristics.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":5.4000,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443123001889/pdfft?md5=695622cfaffeb422fa091de490aa266b&pid=1-s2.0-S1042443123001889-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Not all words are equal: Sentiment and jumps in the cryptocurrency market\",\"authors\":\"Ahmet Faruk Aysan , Massimiliano Caporin , Oguzhan Cepni\",\"doi\":\"10.1016/j.intfin.2023.101920\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This paper analyzes the relationship between price jumps and news sentiment in cryptocurrencies. We detect jumps at the intraday level and correlate their occurrence with sentiment-related events through logistic regressions. We show that the release of information increases the probability of price jumps. By examining the content of news stories, we find that sentiment dimensions limited to emotions or related to market fundamentals have more potential to result in price jumps than others, suggesting that “words are not all created equal”. Jump sensitivity to news sentiment varies across different coin characteristics.</p></div>\",\"PeriodicalId\":48119,\"journal\":{\"name\":\"Journal of International Financial Markets Institutions & Money\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":5.4000,\"publicationDate\":\"2024-01-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S1042443123001889/pdfft?md5=695622cfaffeb422fa091de490aa266b&pid=1-s2.0-S1042443123001889-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of International Financial Markets Institutions & Money\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1042443123001889\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Financial Markets Institutions & Money","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042443123001889","RegionNum":2,"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

摘要

本文分析了加密货币价格跳跃与新闻情绪之间的关系。我们检测了盘中的跳涨，并通过逻辑回归将其发生与情绪相关事件联系起来。我们发现，信息的发布会增加价格跳跃的概率。通过研究新闻报道的内容，我们发现局限于情绪或与市场基本面相关的情绪维度比其他维度更有可能导致价格跳空，这表明 "言语并非一律平等"。不同硬币的特征对新闻情绪的跳跃敏感度也不同。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Not all words are equal: Sentiment and jumps in the cryptocurrency market

This paper analyzes the relationship between price jumps and news sentiment in cryptocurrencies. We detect jumps at the intraday level and correlate their occurrence with sentiment-related events through logistic regressions. We show that the release of information increases the probability of price jumps. By examining the content of news stories, we find that sentiment dimensions limited to emotions or related to market fundamentals have more potential to result in price jumps than others, suggesting that “words are not all created equal”. Jump sensitivity to news sentiment varies across different coin characteristics.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

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.