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Does fear sentiment drive cryptocurrency volatility? Evidence from Google trends data

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  • Biswas, Pratik
  • Sharma, Chandan

Abstract

This paper examines how fear sentiment drives cryptocurrency volatility using a novel Google Trends-based data. For this purpose, we construct a Cryptocurrency Fear Sentiment Index (CFSI). Using local projection approach, we show that fear sentiment significantly increases Bitcoin and Ethereum volatility, with amplified effects during COVID-19 and the Russia-Ukraine war. Unlike price-focused studies, we uniquely link negative sentiment to volatility dynamics, offering new behavioural insights for crypto markets.

Suggested Citation

  • Biswas, Pratik & Sharma, Chandan, 2025. "Does fear sentiment drive cryptocurrency volatility? Evidence from Google trends data," Finance Research Letters, Elsevier, vol. 86(PB).
    • Handle: RePEc:eee:finlet:v:86:y:2025:i:pb:s1544612325017647
    DOI: 10.1016/j.frl.2025.108510
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    References listed on IDEAS

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