Whether and when did bitcoin sentiment matter for investors?Before and during the COVID‑19 pandemic

Using a wavelet coherence approach,this study investigates the relationship between Bitcoin return and Bitcoin-specific sentiment from January 1,2016 to June 30,2021,covering the COVID-19 pandemic period.The results reveal that before the pandemic,sentiment positively drove prices,especially for relatively higher frequencies(2–18 weeks).During the pandemic,the relationship was still positive,but interestingly,the lead-lag relationship disappeared.Employing partial wavelet tools,we factor out the number of COVID-19 cases and deaths and the Equity Market Volatility Infectious Disease Tracker index to observe the direct relationship between a change in sentiment and return.Our results robustly reveal that,before the pandemic,sentiment had a positive effect on return.Although positive coherence still existed during the pandemic,the lead-lag relationship disappeared again.Thus,the causal relationship that states that sentiment leads to return can only be integrated into short-term trading strategies(up to six weeks frequency).