Predictive power of investor sentiment for Bitcoin returns: Evidence from COVID-19 pandemic
Technological Forecasting and Social Change
; : 121999, 2022.
Article
in English
| ScienceDirect | ID: covidwho-2004540
ABSTRACT
In this paper, we examine the impact of investor sentiment on Bitcoin returns. Using a large dataset of messages discussed on social media and several financial indicators, we create a sentiment indicator based on computational text analysis and driven by the principal component analysis (PCA) method. We utilize a vector autoregressive analysis and other analytical methods to examine the sentiment index–bitcoin return nexus. Our findings reveal that the sentiment index is a strong predictor of cryptocurrency market returns in the short term. Furthermore, we confirm that during the COVID-19 pandemic, investors' sentiments significantly impacted Bitcoin returns. Our results show that the proposed sentiment index can generate excess returns for investors who utilize it as a return predictor. Our empirical findings suggest important policy implications.
Full text:
Available
Collection:
Databases of international organizations
Database:
ScienceDirect
Type of study:
Prognostic study
Language:
English
Journal:
Technological Forecasting and Social Change
Year:
2022
Document Type:
Article
Similar
MEDLINE
...
LILACS
LIS