Understanding the interplay between investor sentiment and cryptocurrency returns has become a critical area of research.Indeed,this study aims to uncover the role of Google investor sentiment on cryptocurrency return...Understanding the interplay between investor sentiment and cryptocurrency returns has become a critical area of research.Indeed,this study aims to uncover the role of Google investor sentiment on cryptocurrency returns(including Bitcoin,Litecoin,Ethereum,and Tether),especially during the 2017-18 bubble(January 01,2017,to December 31,2018)and the COVID-19 pandemic(January 01,2020,to March 15,2022).To achieve this,we use two techniques:quantile causality and wavelet coherence.First,the quantile causality test revealed that investors’optimistic sentiments have notably higher cryptocurrency returns,whereas pessimistic sentiments have significantly opposite effects.Moreover,the wavelet coherence analysis shows that co-movement between investor sentiment and Tether cannot be considered significant.This result supports the role of Tether as a stablecoin in portfolio diversification strategies.In fact,the findings will help investors improve the accuracy of cryptocurrency return forecasts in times of stressful events and pave the way for enhanced decision-making utility.展开更多
文摘Understanding the interplay between investor sentiment and cryptocurrency returns has become a critical area of research.Indeed,this study aims to uncover the role of Google investor sentiment on cryptocurrency returns(including Bitcoin,Litecoin,Ethereum,and Tether),especially during the 2017-18 bubble(January 01,2017,to December 31,2018)and the COVID-19 pandemic(January 01,2020,to March 15,2022).To achieve this,we use two techniques:quantile causality and wavelet coherence.First,the quantile causality test revealed that investors’optimistic sentiments have notably higher cryptocurrency returns,whereas pessimistic sentiments have significantly opposite effects.Moreover,the wavelet coherence analysis shows that co-movement between investor sentiment and Tether cannot be considered significant.This result supports the role of Tether as a stablecoin in portfolio diversification strategies.In fact,the findings will help investors improve the accuracy of cryptocurrency return forecasts in times of stressful events and pave the way for enhanced decision-making utility.
