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Not all words are equal: Sentiment and jumps in the cryptocurrency market

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journal contribution
submitted on 2024-08-01, 07:42 and posted on 2024-08-01, 07:47 authored by Ahmet Faruk Aysan, Massimiliano Caporin, Oguzhan Cepni

This paper analyzes the relationship between price jumps and news sentiment in cryptocurrencies. We detect jumps at the intraday level and correlate their occurrence with sentiment-related events through logistic regressions. We show that the release of information increases the probability of price jumps. By examining the content of news stories, we find that sentiment dimensions limited to emotions or related to market fundamentals have more potential to result in price jumps than others, suggesting that “words are not all created equal”. Jump sensitivity to news sentiment varies across different coin characteristics.

Other Information

Published in: Journal of International Financial Markets, Institutions and Money
License: http://creativecommons.org/licenses/by-nc/4.0/
See article on publisher's website: https://dx.doi.org/10.1016/j.intfin.2023.101920

Funding

Italian Ministry of University and Research (2017RSMPZZ).

Italian Ministry of University and Research (2022C799SX).

History

Language

  • English

Publisher

Elsevier

Publication Year

  • 2024

License statement

This Item is licensed under the Creative Commons Attribution-NonCommercial 4.0 International License

Institution affiliated with

  • Hamad Bin Khalifa University
  • College of Islamic Studies - HBKU

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    College of Islamic Studies - HBKU

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