Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemic
Abstract Using a wavelet coherence approach, this study investigates the relationship between Bitcoin return and Bitcoin-specific sentiment from January 1, 2016 to June 30, 2021, covering the COVID-19 pandemic period. The results reveal that before the pandemic, sentiment positively drove prices, es...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2023-12-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-023-00536-9 |
| _version_ | 1827399361418493952 |
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| author | Ahmet Faruk Aysan Erhan Muğaloğlu Ali Yavuz Polat Hasan Tekin |
| author_facet | Ahmet Faruk Aysan Erhan Muğaloğlu Ali Yavuz Polat Hasan Tekin |
| author_sort | Ahmet Faruk Aysan |
| collection | DOAJ |
| description | Abstract Using a wavelet coherence approach, this study investigates the relationship between Bitcoin return and Bitcoin-specific sentiment from January 1, 2016 to June 30, 2021, covering the COVID-19 pandemic period. The results reveal that before the pandemic, sentiment positively drove prices, especially for relatively higher frequencies (2–18 weeks). During the pandemic, the relationship was still positive, but interestingly, the lead-lag relationship disappeared. Employing partial wavelet tools, we factor out the number of COVID-19 cases and deaths and the Equity Market Volatility Infectious Disease Tracker index to observe the direct relationship between a change in sentiment and return. Our results robustly reveal that, before the pandemic, sentiment had a positive effect on return. Although positive coherence still existed during the pandemic, the lead-lag relationship disappeared again. Thus, the causal relationship that states that sentiment leads to return can only be integrated into short-term trading strategies (up to six weeks frequency). |
| first_indexed | 2024-03-08T19:44:49Z |
| format | Article |
| id | doaj.art-d20bd9815905410a99a64a81722f0fd7 |
| institution | Directory Open Access Journal |
| issn | 2199-4730 |
| language | English |
| last_indexed | 2024-03-08T19:44:49Z |
| publishDate | 2023-12-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj.art-d20bd9815905410a99a64a81722f0fd72023-12-24T12:26:57ZengSpringerOpenFinancial Innovation2199-47302023-12-019112410.1186/s40854-023-00536-9Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemicAhmet Faruk Aysan0Erhan Muğaloğlu1Ali Yavuz Polat2Hasan Tekin3Hamad Bin Khalifa UniversityDepartment of Economics, Erciyes UniversityDepartment of Economics, Abdullah Gul UniversityDepartment of Finance and Banking, Karabuk UniversityAbstract Using a wavelet coherence approach, this study investigates the relationship between Bitcoin return and Bitcoin-specific sentiment from January 1, 2016 to June 30, 2021, covering the COVID-19 pandemic period. The results reveal that before the pandemic, sentiment positively drove prices, especially for relatively higher frequencies (2–18 weeks). During the pandemic, the relationship was still positive, but interestingly, the lead-lag relationship disappeared. Employing partial wavelet tools, we factor out the number of COVID-19 cases and deaths and the Equity Market Volatility Infectious Disease Tracker index to observe the direct relationship between a change in sentiment and return. Our results robustly reveal that, before the pandemic, sentiment had a positive effect on return. Although positive coherence still existed during the pandemic, the lead-lag relationship disappeared again. Thus, the causal relationship that states that sentiment leads to return can only be integrated into short-term trading strategies (up to six weeks frequency).https://doi.org/10.1186/s40854-023-00536-9BitcoinReturnCOVID-19SentimentTRMI |
| spellingShingle | Ahmet Faruk Aysan Erhan Muğaloğlu Ali Yavuz Polat Hasan Tekin Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemic Financial Innovation Bitcoin Return COVID-19 Sentiment TRMI |
| title | Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemic |
| title_full | Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemic |
| title_fullStr | Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemic |
| title_full_unstemmed | Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemic |
| title_short | Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemic |
| title_sort | whether and when did bitcoin sentiment matter for investors before and during the covid 19 pandemic |
| topic | Bitcoin Return COVID-19 Sentiment TRMI |
| url | https://doi.org/10.1186/s40854-023-00536-9 |
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