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

Ahmet Faruk Aysan; Massimiliano Caporin; Oguzhan Cepni

doi:10.1016/j.intfin.2023.101920

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

Ahmet Faruk Aysan, Massimiliano Caporin, Oguzhan Cepni^*

^*Corresponding author for this work

Islamic Studies – Administration

Research output: Contribution to journal › Article › peer-review

11 Citations (Scopus)

Abstract

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.

Original language	English
Article number	101920
Journal	Journal of International Financial Markets, Institutions and Money
Volume	91
DOIs	https://doi.org/10.1016/j.intfin.2023.101920
Publication status	Published - 9 Jan 2024

Keywords

Cryptocurrency
Jump spillover
Jumps
Logistic regression
News content

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10.1016/j.intfin.2023.101920

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title = "Not all words are equal: Sentiment and jumps in the cryptocurrency market",

abstract = "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.",

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AB - 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.

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KW - Jump spillover

KW - Jumps

KW - Logistic regression

KW - News content

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ER -

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

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Keywords

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