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A note on the relationship between Bitcoin price and sentiment: New evidence obtained from a cryptocurrency heist

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  • Li, Mingnan
  • Manahov, Viktor
  • Ashton, John

Abstract

This study utilises the Cryptocurrency Fear & Greed Index (CFGI) to analyse the bidirectional relationship between Bitcoin’s price and market sentiment during the KuCoin exchange heist. The time-varying Granger causality test reveals no significant bidirectional causality before the heist, but a strong bidirectional relationship emerges afterwards, indicating heightened interaction under increased market uncertainty. Furthermore, this relationship does not extend to other cryptocurrency heists unless they have an indirect impact on the Bitcoin market. Finally, the TVP-VAR-based connectedness approach analysis shows that the Bitcoin market panic induced by the KuCoin exchange heist has limited spillover effects on other cryptocurrency markets. Our findings help address gaps in understanding the bidirectional dynamics of the relationship between price and investor sentiment, providing valuable insights for managing Bitcoin trades and cryptocurrency portfolios during extreme market events.

Suggested Citation

  • Li, Mingnan & Manahov, Viktor & Ashton, John, 2025. "A note on the relationship between Bitcoin price and sentiment: New evidence obtained from a cryptocurrency heist," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000725
    DOI: 10.1016/j.najef.2025.102432
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    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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