INVESTOR HAPPINESS AND CRYPTOCURRENCY RETURNS: FRESH EVIDENCE FROM TOP FIVE CRYPTOCURRENCIES

Erciyes Universitesi Sosyal Bilimler Enstitusu dergisi Pub Date : 2023-08-18 DOI:10.30794/pausbed.1183813

İbrahim YAĞLI, Özkan HAYKIR

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Abstract

The study aims to investigate the causality relationship between investor happiness and cryptocurrency returns. The study is focused on the five largest cryptocurrencies, specifically Bitcoin (BTC), Ethereum (ETH), Binance Coin (BNB), Ripple (XRP), and Cardano (ADA). Twitter-based Happiness Index is used to measure investor happiness. The sample period covers the period between January 1, 2019, and October 2, 2021. The Zivot-Andrews test is employed to detect stationary of covariates. After ensuring that all variables are stationary at levels, the Granger causality test is adopted to understand the relationship between the happiness index and cryptocurrency returns. The impulse-response functions are illustrated. The results indicate that there is a uni-directional relationship from BTC to Happiness Index, and Happiness Index to ETH. Considering that the causal relationship between cryptocurrency returns and investor happiness differs between cryptocurrencies, it is thought that investors should closely monitor the happiness index and make adjustments in their portfolios in response to changes in investor happiness.

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投资者幸福感和加密货币回报:来自五大加密货币的新证据

该研究旨在调查投资者幸福感与加密货币回报之间的因果关系。这项研究的重点是五种最大的加密货币，特别是比特币(BTC)、以太坊(ETH)、币安币(BNB)、瑞波币(XRP)和卡尔达诺(ADA)。基于twitter的幸福指数用于衡量投资者的幸福感。样本周期为2019年1月1日至2021年10月2日。采用Zivot-Andrews检验检验协变量的平稳性。在确保所有变量在水平上是平稳的之后，采用格兰杰因果检验来理解幸福指数与加密货币收益之间的关系。给出了脉冲响应函数。结果表明，比特币与幸福指数呈单向关系，幸福指数与ETH呈单向关系。考虑到加密货币收益与投资者幸福感之间的因果关系因加密货币而异，投资者应密切关注幸福指数，并根据投资者幸福感的变化对投资组合进行调整。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Erciyes Universitesi Sosyal Bilimler Enstitusu dergisi

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12 weeks