Abstract
This paper studies the dynamic network connectedness between cryptocurrency returns and sentiments using the novel cryptocurrency-specific MarketPsych sentiment data for 13 cryptocurrencies with the highest market capitalization. The results indicate the dominance of cryptocurrencies with higher market capitalization and information transmission from cryptocurrency returns to sentiments. Our results also show that Bitcoin is losing its dominance to alt-coins in return spillovers while still dominant in sentiment spillovers.
| Original language | English |
|---|---|
| Article number | 109980 |
| Journal | Economics Letters |
| Volume | 206 |
| DOIs | |
| Publication status | Published - Sept 2021 |
Keywords
- Cryptocurrency
- Sentiment
- Spillovers
- TVP-VAR