Bitcoin Sentiment Index and Stock Market Return

22 Pages Posted: 10 May 2021

See all articles by Najma Ali Soomro

Najma Ali Soomro

Sukkur IBA University, Students

Suresh Kumar Oad Rajput

Sukkur IBA University

Ishfaque Ahmed Soomro

Sukkur IBA University

Date Written: May 6, 2021


The returns predictions and price movements of financial markets are predicted through online search engines. These search engines claim to trade sentiments of individual investors. This study aims to determine the changes in the American stock market returns due to Bitcoin investors’ sentiments. The Bitcoin sentiment index is constructed and used as a benchmark for Bitcoin investors’ sentiments from the time period of 2013-2018. This index is constructed through searching terms from top business magazines and journals available online. Such index is used as benchmark to determine the bitcoin potential investor sentiments and their impact on S&P returns. By using the ordinary least square method it was found that there is a negative impact of BSI on S&P returns. Further vector autoregressive(VAR) model is used to determine the association between these economic time series. According to VAR results it was found positive significant impact of S&P returns on BSI whereas, BSI itself was unable to predict S&P returns. Therefore, it can be said that S&P returns causes BSI.

Keywords: Benchmark, Bitcoin Potential Investor; Bitcoin Sentiments; Google Trends; Vector Autoregressive; Volatility Index

JEL Classification: C22, E22, E44, E71, G40, N2

Suggested Citation

Soomro, Najma Ali and Oad Rajput, Suresh Kumar and Soomro, Ishfaque Ahmed, Bitcoin Sentiment Index and Stock Market Return (May 6, 2021). Available at SSRN: or

Najma Ali Soomro (Contact Author)

Sukkur IBA University, Students ( email )


Suresh Kumar Oad Rajput

Sukkur IBA University ( email )

00923363322855 (Phone)
65200 (Fax)

Ishfaque Ahmed Soomro

Sukkur IBA University ( email )

Sukkur, Sindh

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