Investor sentiment and Bitcoin relationship: A quantile-based analysis
The North American Journal of Economics and Finance
; : 101657, 2022.
Article
in English
| ScienceDirect | ID: covidwho-1665313
ABSTRACT
This paper applies a quantile-based analysis to investigate the causal relationships between Bitcoin and investor sentiment by considering the possible effects of the ongoing COVID-19 pandemic. Such an analysis allows investigating the predictive power of investor sentiment (Bitcoin) on Bitcoin (investor sentiment) at different levels of the distributions. Results emphasize that only Bitcoin returns/volatility have significant predictive power on the investor sentiment whether investors are fear or greed before and over the COVID-19 period. Moreover, the COVID-19 crisis has no effect on the causal relationship between the two variables. Further analysis shows an asymmetric causality observed only during the pandemic period. Furthermore, the quantile autoregressive regression model shows a significant positive relationship between investor sentiment and Bitcoin returns.
Full text:
Available
Collection:
Databases of international organizations
Database:
ScienceDirect
Language:
English
Journal:
The North American Journal of Economics and Finance
Year:
2022
Document Type:
Article
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