恐惧情绪会推动加密货币波动吗？来自谷歌趋势数据的证据

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-09-19 DOI:10.1016/j.frl.2025.108510

Pratik Biswas, Chandan Sharma

{"title":"恐惧情绪会推动加密货币波动吗？来自谷歌趋势数据的证据","authors":"Pratik Biswas, Chandan Sharma","doi":"10.1016/j.frl.2025.108510","DOIUrl":null,"url":null,"abstract":"<div><div>This paper examines how fear sentiment drives cryptocurrency volatility using a novel Google Trends-based data. For this purpose, we construct a Cryptocurrency Fear Sentiment Index (CFSI). Using local projection approach, we show that fear sentiment significantly increases Bitcoin and Ethereum volatility, with amplified effects during COVID-19 and the Russia-Ukraine war. Unlike price-focused studies, we uniquely link negative sentiment to volatility dynamics, offering new behavioural insights for crypto markets.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"86 ","pages":"Article 108510"},"PeriodicalIF":6.9000,"publicationDate":"2025-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Does fear sentiment drive cryptocurrency volatility? Evidence from Google trends data\",\"authors\":\"Pratik Biswas, Chandan Sharma\",\"doi\":\"10.1016/j.frl.2025.108510\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>This paper examines how fear sentiment drives cryptocurrency volatility using a novel Google Trends-based data. For this purpose, we construct a Cryptocurrency Fear Sentiment Index (CFSI). Using local projection approach, we show that fear sentiment significantly increases Bitcoin and Ethereum volatility, with amplified effects during COVID-19 and the Russia-Ukraine war. Unlike price-focused studies, we uniquely link negative sentiment to volatility dynamics, offering new behavioural insights for crypto markets.</div></div>\",\"PeriodicalId\":12167,\"journal\":{\"name\":\"Finance Research Letters\",\"volume\":\"86 \",\"pages\":\"Article 108510\"},\"PeriodicalIF\":6.9000,\"publicationDate\":\"2025-09-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance Research Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1544612325017647\",\"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":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1544612325017647","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

本文使用基于谷歌趋势的新数据研究了恐惧情绪如何驱动加密货币波动。为此，我们构建了一个加密货币恐惧情绪指数（CFSI）。使用局部预测方法，我们表明恐惧情绪显着增加了比特币和以太坊的波动性，在COVID-19和俄罗斯-乌克兰战争期间的影响被放大。与以价格为中心的研究不同，我们独特地将负面情绪与波动动态联系起来，为加密市场提供了新的行为见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Does fear sentiment drive cryptocurrency volatility? Evidence from Google trends data

This paper examines how fear sentiment drives cryptocurrency volatility using a novel Google Trends-based data. For this purpose, we construct a Cryptocurrency Fear Sentiment Index (CFSI). Using local projection approach, we show that fear sentiment significantly increases Bitcoin and Ethereum volatility, with amplified effects during COVID-19 and the Russia-Ukraine war. Unlike price-focused studies, we uniquely link negative sentiment to volatility dynamics, offering new behavioural insights for crypto markets.

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

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance