Cryptocurrencies’ Price Crash Risk and Crisis Sentiment

Dimitrios Anastasiou; Antonis Ballis; Konstantinos Drakos

doi:https://doi.org/10.1016/j.frl.2021.101928

Cryptocurrencies’ Price Crash Risk and Crisis Sentiment

Dimitrios Anastasiou, Antonis Ballis, Konstantinos Drakos

Economics, Finance and Entrepreneurship

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

Abstract

We examine the effect of crisis sentiment on cryptocurrencies’ price crash risk. We show that cryptocurrencies’ price crash risk is positively related to the FEARS index, indicating that a higher crisis sentiment by investors increases cryptocurrencies’ price crash risk. Our findings advance the understanding of the consequences of investor sentiment on the cryptocurrency market.

Original language	English
Article number	101928
Number of pages	5
Journal	Finance Research Letters
Volume	42
Early online date	9 Jan 2021
DOIs	https://doi.org/10.1016/j.frl.2021.101928
Publication status	Published - Oct 2021

Keywords

Cryptocurrencies
Price Crash Risk
Investors’ Crisis Sentiment
Google Trends
FEARS Index

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https://doi.org/10.1016/j.frl.2021.101928

Cite this

@article{08e74eeae5664ad5ac3c0549ec486ed1,

title = "Cryptocurrencies{\textquoteright} Price Crash Risk and Crisis Sentiment",

abstract = "We examine the effect of crisis sentiment on cryptocurrencies{\textquoteright} price crash risk. We show that cryptocurrencies{\textquoteright} price crash risk is positively related to the FEARS index, indicating that a higher crisis sentiment by investors increases cryptocurrencies{\textquoteright} price crash risk. Our findings advance the understanding of the consequences of investor sentiment on the cryptocurrency market.",

keywords = "Cryptocurrencies, Price Crash Risk, Investors{\textquoteright} Crisis Sentiment, Google Trends, FEARS Index",

author = "Dimitrios Anastasiou and Antonis Ballis and Konstantinos Drakos",

year = "2021",

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journal = "Finance Research Letters",

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AU - Ballis, Antonis

AU - Drakos, Konstantinos

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N2 - We examine the effect of crisis sentiment on cryptocurrencies’ price crash risk. We show that cryptocurrencies’ price crash risk is positively related to the FEARS index, indicating that a higher crisis sentiment by investors increases cryptocurrencies’ price crash risk. Our findings advance the understanding of the consequences of investor sentiment on the cryptocurrency market.

AB - We examine the effect of crisis sentiment on cryptocurrencies’ price crash risk. We show that cryptocurrencies’ price crash risk is positively related to the FEARS index, indicating that a higher crisis sentiment by investors increases cryptocurrencies’ price crash risk. Our findings advance the understanding of the consequences of investor sentiment on the cryptocurrency market.

KW - Cryptocurrencies

KW - Price Crash Risk

KW - Investors’ Crisis Sentiment

KW - Google Trends

KW - FEARS Index

UR - https://www.sciencedirect.com/science/article/pii/S154461232100009X

U2 - https://doi.org/10.1016/j.frl.2021.101928

DO - https://doi.org/10.1016/j.frl.2021.101928

M3 - Article

SN - 1544-6123

VL - 42

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 101928

ER -

Cryptocurrencies’ Price Crash Risk and Crisis Sentiment

Abstract

Keywords

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