Abstract
We investigate the extent to which Bitcoin price fluctuations are associated with investors’ sentiment disagreement. We employ three textual sentiment analysis techniques: 1) a Python library offered by the Computational Linguistics and Psycholinguistics Research Center; 2) Loughran and McDonald’s (2011) dictionary; and 3) semantic orientation by the point-wise mutual information method. The results show that investors’ attention and sentiment disagreement induce extremely high volatility and jumps in Bitcoin prices. These findings complement existing studies on how investors’ sentiment manifests in asset prices.
Original language | English |
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Pages (from-to) | 412-416 |
Number of pages | 5 |
Journal | Applied Economics Letters |
Volume | 27 |
Issue number | 5 |
DOIs | |
State | Published - 11 Mar 2020 |
Bibliographical note
Publisher Copyright:© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group.
Keywords
- attention
- Bitcoin
- computational linguistics
- disagreement