文章基本信息

标题：Time-Varying Nexus between Investor Sentiment and Cryptocurrency Market: New Insights from a Wavelet Coherence Framework
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作者：AlNemer, Hashem A. ; Hkiri, Besma ; Khan, Muhammed Asif 等
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2021
卷号：14
期号：6
页码：1-19
DOI：10.3390/jrfm14060275
语种：English
出版社：MDPI, Open Access Journal
摘要：This study attempts to investigate the nexus between investor sentiment and cryptocurrencies prices. Our empirical investigation merges bivariate and multivariate wavelet tools to examine the investor sentiment nexus to inter-cryptocurrencies prices. The study outcomes show that the Sentix Investor Confidence index provides significant information in explaining long-term changes in Bitcoin and Litecoin prices. Moreover, the findings generated from the multiple wavelet coherence illustrate the simultaneous contribution of cryptocurrencies and the Sentix Investor Confidence index in explaining the Bitcoin index movement across frequencies and over horizons, especially during bubble burst periods. The study also suggests a time-dependent relationship of Bitcoin prices with alternative cryptocurrencies and the Sentix Investor Confidence index, mostly pronounced during the Bitcoin bubble. We discuss our results using GSV-based investor sentiment. Our findings remain robust and confirm the strong predictive power of investor sentiment in cryptocurrencies price movements over time and across scales.
关键词：cryptocurrency; investor sentiment; wavelet coherence; Google-search volume