Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemic
<p dir="ltr">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 positiv...
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| مؤلفون آخرون: | , , |
| منشور في: |
2023
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| _version_ | 1864513507612950528 |
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| author | Ahmet Faruk Aysan (11902115) |
| author2 | Erhan Muğaloğlu (10133003) Ali Yavuz Polat (7775045) Hasan Tekin (19457332) |
| author2_role | author author author |
| author_facet | Ahmet Faruk Aysan (11902115) Erhan Muğaloğlu (10133003) Ali Yavuz Polat (7775045) Hasan Tekin (19457332) |
| author_role | author |
| dc.creator.none.fl_str_mv | Ahmet Faruk Aysan (11902115) Erhan Muğaloğlu (10133003) Ali Yavuz Polat (7775045) Hasan Tekin (19457332) |
| dc.date.none.fl_str_mv | 2023-12-21T06:00:00Z |
| dc.identifier.none.fl_str_mv | 10.1186/s40854-023-00536-9 |
| dc.relation.none.fl_str_mv | https://figshare.com/articles/journal_contribution/Whether_and_when_did_bitcoin_sentiment_matter_for_investors_Before_and_during_the_COVID-19_pandemic/26796166 |
| dc.rights.none.fl_str_mv | CC BY 4.0 info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Commerce, management, tourism and services Banking, finance and investment Economics Econometrics Bitcoin Return COVID-19 Sentiment TRMI |
| dc.title.none.fl_str_mv | Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemic |
| dc.type.none.fl_str_mv | Text Journal contribution info:eu-repo/semantics/publishedVersion text contribution to journal |
| description | <p dir="ltr">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).</p><h2>Other Information</h2><p dir="ltr">Published in: Financial Innovation<br>License: <a href="https://creativecommons.org/licenses/by/4.0" target="_blank">https://creativecommons.org/licenses/by/4.0</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1186/s40854-023-00536-9" target="_blank">https://dx.doi.org/10.1186/s40854-023-00536-9</a></p> |
| eu_rights_str_mv | openAccess |
| id | Manara2_dd3566a1adf579b9b854d6d99a714066 |
| identifier_str_mv | 10.1186/s40854-023-00536-9 |
| network_acronym_str | Manara2 |
| network_name_str | Manara2 |
| oai_identifier_str | oai:figshare.com:article/26796166 |
| publishDate | 2023 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| rights_invalid_str_mv | CC BY 4.0 |
| spelling | Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemicAhmet Faruk Aysan (11902115)Erhan Muğaloğlu (10133003)Ali Yavuz Polat (7775045)Hasan Tekin (19457332)Commerce, management, tourism and servicesBanking, finance and investmentEconomicsEconometricsBitcoinReturnCOVID-19SentimentTRMI<p dir="ltr">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).</p><h2>Other Information</h2><p dir="ltr">Published in: Financial Innovation<br>License: <a href="https://creativecommons.org/licenses/by/4.0" target="_blank">https://creativecommons.org/licenses/by/4.0</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1186/s40854-023-00536-9" target="_blank">https://dx.doi.org/10.1186/s40854-023-00536-9</a></p>2023-12-21T06:00:00ZTextJournal contributioninfo:eu-repo/semantics/publishedVersiontextcontribution to journal10.1186/s40854-023-00536-9https://figshare.com/articles/journal_contribution/Whether_and_when_did_bitcoin_sentiment_matter_for_investors_Before_and_during_the_COVID-19_pandemic/26796166CC BY 4.0info:eu-repo/semantics/openAccessoai:figshare.com:article/267961662023-12-21T06:00:00Z |
| spellingShingle | Whether and when did bitcoin sentiment matter for investors? Before and during the COVID-19 pandemic Ahmet Faruk Aysan (11902115) Commerce, management, tourism and services Banking, finance and investment Economics Econometrics Bitcoin Return COVID-19 Sentiment TRMI |
| status_str | publishedVersion |
| 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 | Commerce, management, tourism and services Banking, finance and investment Economics Econometrics Bitcoin Return COVID-19 Sentiment TRMI |