作者
Ahmet Faruk Aysan, Massimiliano Caporin, Oguzhan Cepni
发表日期
2024/3/1
期刊
Journal of International Financial Markets, Institutions and Money
卷号
91
页码范围
101920
出版商
North-Holland
简介
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.
引用总数
学术搜索中的文章
AF Aysan, M Caporin, O Cepni - Journal of International Financial Markets, Institutions …, 2024