News-based sentiment and bitcoin volatility
Sapkota, Niranjan (2022-07)
Sapkota, Niranjan
Elsevier
07 / 2022
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2023020726187
https://urn.fi/URN:NBN:fi-fe2023020726187
Kuvaus
vertaisarvioitu
© 2022 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
© 2022 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
Tiivistelmä
In this work, I studied whether news media sentiments have an impact on Bitcoin volatility. In doing so, I applied three different range-based volatility estimates along with two different sentiments, namely psychological sentiments and financial sentiments, incorporating four various sentiment dictionaries. By analyzing 17,490 news coverages by 91 major English-language newspapers listed in the LexisNexis database from around the globe from January 2012 until August 2021, I found news media sentiments to play a significant role in Bitcoin volatility. Following the heterogeneous autoregressive model for realized volatility (HAR-RV)—which uses the heterogeneous market idea to create a simple additive volatility model at different scales to learn which factor is influencing the time series—along with news sentiments as explanatory variables, showed a better fit and higher forecasting accuracy. Furthermore, I also found that psychological sentiments have medium-term and financial sentiments have long-term effects on Bitcoin volatility. Moreover, the National Research Council Emotion Lexicon showed the main emotional drivers of Bitcoin volatility to be anticipation and trust.
Kokoelmat
- Artikkelit [3030]