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How connected is the crypto market risk to investor sentiment?

Author

Listed:
  • Lin, Xudong
  • Meng, Yiqun
  • Zhu, Hao

Abstract

We examine the connection of investor sentiment and crypto market risk within the decomposed and partial connectedness framework. By identifying interconnectedness and bi-directional causal relationship between online investor sentiment, bitcoin investor sentiment and 12 dominant cryptos, we find strong correlations between investor sentiment and volatility spillovers in the crypto market, emphasizing the importance of considering sentiment contagion when analyzing crypto market movements. This study offers valuable insights for market participants and regulators, while also contributing to the existing literature on sentiment analysis and market dynamics in the crypto domain.

Suggested Citation

  • Lin, Xudong & Meng, Yiqun & Zhu, Hao, 2023. "How connected is the crypto market risk to investor sentiment?," Finance Research Letters, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005494
    DOI: 10.1016/j.frl.2023.104177
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    References listed on IDEAS

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