Riding the Waves of Crypto Sentiment: Examining the Dynamics between Returns and Sentiment in the Cryptocurrency Market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F25%3A43926894" target="_blank" >RIV/62156489:43110/25:43926894 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.32065/CJEF.2025.02.01" target="_blank" >https://doi.org/10.32065/CJEF.2025.02.01</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.32065/CJEF.2025.02.01" target="_blank" >10.32065/CJEF.2025.02.01</a>
Alternative languages
Result language
angličtina
Original language name
Riding the Waves of Crypto Sentiment: Examining the Dynamics between Returns and Sentiment in the Cryptocurrency Market
Original language description
This study examines the relationship between investor sentiment and market dynamics across the five largest cryptocurrencies-Bitcoin, Ethereum, Binance Coin, Ripple, and Cardano. Using the Crypto Fear & Greed Index as a proxy for market sentiment, we apply wavelet coherence to investigate the co-movement between sentiment and cryptocurrency returns across time and frequency domains. In parallel, impulse response functions from a vector autoregression framework are employed to assess how return shocks-particularly in Bitcoin-propagate through financial uncertainty, subsequently influencing sentiment and trading activity. Our findings reveal that sentiment functions as a robust leading indicator within an investment horizon of one week to one month, during which notable shifts in trading volume are observed. These results enhance our understanding of sentiment-driven behavior in crypto markets and provide actionable insights for short-term forecasting and investment strategy design across different time horizons.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Finance a úvěr-Czech Journal of Economics and Finance
ISSN
0015-1920
e-ISSN
2464-7683
Volume of the periodical
75
Issue of the periodical within the volume
2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
30
Pages from-to
98-127
UT code for WoS article
001518182100001
EID of the result in the Scopus database
2-s2.0-105010484890