市场情绪会影响加密货币吗?

IF 1.7 3区经济学 Q3 BUSINESS, FINANCE

Journal of Behavioral Finance Pub Date : 2021-08-04 DOI:10.1080/15427560.2021.1950723

Anamika, Madhumita Chakraborty, S. Subramaniam

{"title":"市场情绪会影响加密货币吗?","authors":"Anamika, Madhumita Chakraborty, S. Subramaniam","doi":"10.1080/15427560.2021.1950723","DOIUrl":null,"url":null,"abstract":"Abstract This study examines the impact of investor sentiment on cryptocurrency returns. We use a direct survey-based measure that captures the investors’ sentiment on Bitcoins. This direct measure of Bitcoin investor sentiment is obtained from the Sentix database. The results of the study found that the Bitcoin prices experience appreciation when investors are optimistic about Bitcoin. Bitcoin sentiment has significant power in predicting the Bitcoin prices after controlling for the relevant factors. There is also evidence that the sentiment of the dominant cryptocurrency, i.e., Bitcoin, influences the price of other cryptocurrencies. Further, we extend our analysis by investigating the impact of equity market sentiment on cryptocurrency returns. We proxy equity market sentiment using two measures viz: Baker-Wurgler sentiment Index and the VIX Index. When the equity market investors’ sentiment is bearish, cryptocurrency prices rise, indicating that cryptocurrency can act as an alternative avenue for investment. Our results remain unaffected after controlling for potential factors that could impact cryptocurrency prices.","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"67 1","pages":"202 - 218"},"PeriodicalIF":1.7000,"publicationDate":"2021-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"39","resultStr":"{\"title\":\"Does Sentiment Impact Cryptocurrency?\",\"authors\":\"Anamika, Madhumita Chakraborty, S. Subramaniam\",\"doi\":\"10.1080/15427560.2021.1950723\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract This study examines the impact of investor sentiment on cryptocurrency returns. We use a direct survey-based measure that captures the investors’ sentiment on Bitcoins. This direct measure of Bitcoin investor sentiment is obtained from the Sentix database. The results of the study found that the Bitcoin prices experience appreciation when investors are optimistic about Bitcoin. Bitcoin sentiment has significant power in predicting the Bitcoin prices after controlling for the relevant factors. There is also evidence that the sentiment of the dominant cryptocurrency, i.e., Bitcoin, influences the price of other cryptocurrencies. Further, we extend our analysis by investigating the impact of equity market sentiment on cryptocurrency returns. We proxy equity market sentiment using two measures viz: Baker-Wurgler sentiment Index and the VIX Index. When the equity market investors’ sentiment is bearish, cryptocurrency prices rise, indicating that cryptocurrency can act as an alternative avenue for investment. Our results remain unaffected after controlling for potential factors that could impact cryptocurrency prices.\",\"PeriodicalId\":47016,\"journal\":{\"name\":\"Journal of Behavioral Finance\",\"volume\":\"67 1\",\"pages\":\"202 - 218\"},\"PeriodicalIF\":1.7000,\"publicationDate\":\"2021-08-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"39\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Behavioral Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/15427560.2021.1950723\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Behavioral Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/15427560.2021.1950723","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 39

摘要

本研究考察了投资者情绪对加密货币回报的影响。我们使用了一种基于直接调查的方法来捕捉投资者对比特币的情绪。比特币投资者情绪的直接衡量指标来自Sentix数据库。研究结果发现，当投资者对比特币持乐观态度时，比特币的价格会出现升值。在控制了相关因素后，比特币情绪对比特币价格具有显著的预测力。还有证据表明，占主导地位的加密货币(即比特币)的情绪会影响其他加密货币的价格。此外，我们通过调查股票市场情绪对加密货币回报的影响来扩展我们的分析。我们用两个指标来代表股市情绪:Baker-Wurgler情绪指数和VIX指数。当股市投资者情绪悲观时，加密货币价格上涨，表明加密货币可以作为另一种投资途径。在控制了可能影响加密货币价格的潜在因素后，我们的结果不受影响。

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 Sentiment Impact Cryptocurrency?

Abstract This study examines the impact of investor sentiment on cryptocurrency returns. We use a direct survey-based measure that captures the investors’ sentiment on Bitcoins. This direct measure of Bitcoin investor sentiment is obtained from the Sentix database. The results of the study found that the Bitcoin prices experience appreciation when investors are optimistic about Bitcoin. Bitcoin sentiment has significant power in predicting the Bitcoin prices after controlling for the relevant factors. There is also evidence that the sentiment of the dominant cryptocurrency, i.e., Bitcoin, influences the price of other cryptocurrencies. Further, we extend our analysis by investigating the impact of equity market sentiment on cryptocurrency returns. We proxy equity market sentiment using two measures viz: Baker-Wurgler sentiment Index and the VIX Index. When the equity market investors’ sentiment is bearish, cryptocurrency prices rise, indicating that cryptocurrency can act as an alternative avenue for investment. Our results remain unaffected after controlling for potential factors that could impact cryptocurrency prices.

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 Behavioral Finance Multiple-

CiteScore

4.60

自引率

10.50%

发文量

期刊介绍： In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.