Publication Type
Journal Article
Version
acceptedVersion
Publication Date
9-2021
Abstract
This paper studies the dynamic network connectedness between cryptocurrency returns and sentiments using the novel cryptocurrency-specific MarketPsych sentiment data for 13 cryptocurrencies with the highest market capitalization. The results indicate the dominance of cryptocurrencies with higher market capitalization and information transmission from cryptocurrency returns to sentiments. Our results also show that Bitcoin is losing its dominance to alt-coins in return spillovers while still dominant in sentiment spillovers.
Keywords
Cryptocurrency, Sentiment, Spillovers, TVP-VAR
Discipline
Finance and Financial Management
Research Areas
Finance
Publication
EconomicsLetters
Volume
206
First Page
1
Last Page
6
Identifier
10.1016/j.econlet.2021.109980
Publisher
Elsevier
Embargo Period
2-10-2025
Citation
AKYILDIRIM, Erdinc; AYSAN, Ahmet Faruk; CEPNI, Oguzhan; and DARENDELI, Pinar.
Do investor sentiments drive cryptocurrency prices?. (2021). EconomicsLetters. 206, 1-6.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7671
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.econlet.2021.109980
