Bitcoin Sentiment Index, Bitcoin Performance and US Dollar Exchange Rate

This study introduces a comprehensive Google search volume based Bitcoin Sentiment Index (BSI) and investigates its symmetric and asymmetric association with Bitcoin's returns, volume, and volatility, and with United States Dollar (USD) exchange rates. Our results indicate a positive associatio...

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Bibliographic Details
Published inThe journal of behavioral finance Vol. 23; no. 2; pp. 150 - 165
Main Authors Oad Rajput, Suresh Kumar, Soomro, Ishfaque Ahmed, Soomro, Najma Ali
Format Journal Article
LanguageEnglish
Published Philadelphia Routledge 16.05.2022
Taylor & Francis Ltd
Subjects
Bitcoin returns
Bitcoin sentiments
Bitcoin volatility
Digital currencies
Exchange rate
Foreign exchange rates
Google trends
Volatility
United States > US
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Summary:This study introduces a comprehensive Google search volume based Bitcoin Sentiment Index (BSI) and investigates its symmetric and asymmetric association with Bitcoin's returns, volume, and volatility, and with United States Dollar (USD) exchange rates. Our results indicate a positive association of BSI with Bitcoin's returns and volume, but a negative relationship with its return volatility. Besides, Bitcoin's optimistic sentiments have an asymmetric relationship with the USD exchange rate in the short-run, and the Bitcoin price has an asymmetric and negative association with USD in the short-run and long-run. We also found a 35.47% speed of adjustment to long-run equilibrium.
ISSN:1542-7560
1542-7579
DOI:10.1080/15427560.2020.1864735