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Breaking news headlines: Impact on trading activity in the cryptocurrency market

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  • Kumar Kulbhaskar, Anamika
  • Subramaniam, Sowmya

Abstract

Publicly available information plays a crucial role in shaping cryptocurrency investor sentiments. Past literature has used various measures to proxy sentiment. In this study, we construct a cryptocurrency-specific news sentiment from daily cryptocurrency news headlines. The sentiments are classified into positive and negative news sentiments to understand their differential impact on the trading activity of the cryptocurrency market. The results show that positive news boosts investor confidence, thereby increasing returns, and negative news causes uncertainty. The most dominant cryptocurrency, Bitcoin, experiences a “negativity effect,” i.e., the impact of negative news on returns is higher than positive news. On the volatility and liquidity front, positive (negative) news increases (decreases) the volatility and liquidity. Positive news triggers the participation of uninformed traders who buy due to the “fear of missing out” phenomenon and pump-and-dump schemes. Negative news reduces liquidity by creating uncertainty among informed and uninformed traders.

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  • Kumar Kulbhaskar, Anamika & Subramaniam, Sowmya, 2023. "Breaking news headlines: Impact on trading activity in the cryptocurrency market," Economic Modelling, Elsevier, vol. 126(C).
    • Handle: RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002092
    DOI: 10.1016/j.econmod.2023.106397
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    More about this item

    Keywords

    News headlines; Cryptocurrency; Investor sentiment; Public information; Bitcoin;
    All these keywords.

    JEL classification:

    • E49 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Other
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G40 - Financial Economics - - Behavioral Finance - - - General

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