Not All Words are Equal: Sentiment and Jumps in the Cryptocurrency Market

53 Pages Posted: 16 May 2023

See all articles by Oguzhan Cepni

Oguzhan Cepni

University of Colorado at Boulder

Ahmet Faruk Aysan

Hamad Bin Khalifa University - Center for Islamic Economics and Finance

Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Abstract

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.

Keywords: Cryptocurrency, jumps, jump spillover, logistic regression, news content

Suggested Citation

Cepni, Oguzhan and Aysan, Ahmet Faruk and Caporin, Massimiliano, Not All Words are Equal: Sentiment and Jumps in the Cryptocurrency Market. Available at SSRN: https://ssrn.com/abstract=4450390 or http://dx.doi.org/10.2139/ssrn.4450390

Oguzhan Cepni (Contact Author)

University of Colorado at Boulder ( email )

Boulder, CO CO 80309
United States

Ahmet Faruk Aysan

Hamad Bin Khalifa University - Center for Islamic Economics and Finance ( email )

P.O. Box: 5825
Education City
Doha
Qatar

Massimiliano Caporin

University of Padua - Department of Statistical Sciences ( email )

Via Battisti, 241
Padova, 35121
Italy

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