News sentiment in the cryptocurrency market: An empirical comparison with Forex
By Lavinia Rognone, Stuart Hyde, S. Zhang. 2020
150 citations recorded by the source corpus.
Abstract We use high frequency intra-day data to investigate the influence of unscheduled currency and Bitcoin news on the returns, volume and volatility of the cryptocurrency Bitcoin and traditional currencies over the period from January 2012 to November 2018. Results show that Bitcoin behaves differently to traditional currencies. Traditional currencies typically experience a decrease in returns after negative news arrivals and an increase in returns following positive news whereas Bitcoin reacts positively to both positive and negative news. This suggests investor enthusiasm for Bitcoin irrespective of the sentiment of the news. This phenomenon is exacerbated during bubble periods. Conversely, cryptocurrency cyber-attack news and fraud news dampen this effect, decreasing Bitcoin returns and volatility. Our results contribute to the discussion on the nature of Bitcoin as a currency or an asset. They further inform practitioners about the characteristics of cryptocurrencies as a financial asset and inform regulators about the influence of news on Bitcoin volatility, particularly during bubble periods.
Subfields: Economics and Econometrics, Finance, Information Systems
View Paper: https://www.semanticscholar.org/paper/50f316ef0b1c3ac87b117c94f7286712cf61ec94
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In Economics and Econometrics
In Information Systems
Citations in the corpus
- A survey on sentiment analysis methods, applications, and challenges (2022, background): “In the work of Rognone et al. (2020) investigated the influence of news sentiment on cryptocurrencies like bitcoin and other standard currencies volatility, volume, and returns.”