Riding the Waves of Crypto Sentiment: Examining the Dynamics between Returns and Sentiment in the Cryptocurrency Market

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Riding the Waves of Crypto Sentiment: Examining the Dynamics between Returns and Sentiment in the Cryptocurrency Market

Popis výsledku v původním jazyce

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 &amp; 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.

Název v anglickém jazyce

Riding the Waves of Crypto Sentiment: Examining the Dynamics between Returns and Sentiment in the Cryptocurrency Market

Popis výsledku anglicky

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 &amp; 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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Finance a úvěr-Czech Journal of Economics and Finance

ISSN

0015-1920

e-ISSN

2464-7683

Svazek periodika

75

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

30

Strana od-do

98-127

Kód UT WoS článku

001518182100001

EID výsledku v databázi Scopus

2-s2.0-105010484890