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Sentiment Matters: The effect of news-media on spillovers among cryptocurrency returns
Akyildirim, Erdinc Aysan, A.F. Cepni, O. Serbest, O.
Akyildirim, Erdinc
Aysan, A.F.
Cepni, O.
Serbest, O.
Publication Date
2024
End of Embargo
Supervisor
Rights
© 2024 Taylor & Francis. The Version of Record of this manuscript has been published
and is available in European Journal of Finance http://www.tandfonline.com/https://doi.org/10.1080/1351847X.2024.2323454.
Peer-Reviewed
Yes
Open Access status
embargoedAccess
Accepted for publication
12/02/2024
Institution
Department
Awarded
Embargo end date
11/09/2025
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Additional title
Abstract
This paper explores the relationship between news media sentiment and spillover effects
in the cryptocurrency market. By employing a time-varying parameter vector autoregressive
model, we initially develop measures of spillover specific to individual cryptocurrencies. Subsequently, we employ unique data on cryptocurrency-specific sentiment to assess its impact
on these spillover measures using panel fixed effects regression analysis. Our findings indicate that news media sentiment plays a significant role in explaining the spillover dynamics
within the cryptocurrency market. Unlike traditional assets, it appears that only positive
sentiment affects the spillovers among cryptocurrencies, suggesting an asymmetric effect.
Taking into account various characteristics of cryptocurrencies, we find that sentiment’s impact on spillover is more pronounced in community-based coins than in those driven by firms.
An examination of news content suggests that sentiment pertaining to emotional and risk
aspects of cryptocurrencies predominantly influences these spillovers. Additionally, a comparative analysis of sentiment derived from social media and traditional news sources reveals
a stronger influence of the former on spillover effects. Through extensive robustness checks,
our research consistently affirms the pivotal role of sentiment in driving spillovers among
cryptocurrency returns, underlining the importance of sentiment analysis in understanding
the dynamics of the cryptocurrency market.
Version
Accepted manuscript
Citation
Akyildirim E, Aysan AF, Cepni O et al (2024) Sentiment Matters: The effect of news-media on spillovers among cryptocurrency returns. European Journal of Finance. Accepted for publication.
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Link to published version
Link to Version of Record
Type
Article
Qualification name
Notes
The full-text of this article will be released for public view at the end of the publisher embargo on 11 Sep 2025.