How Does Investor Sentiment Affect Cryptocurrency Markets?: Bitcoin Review

Year 2025, Issue: 105, 121 - 134, 26.01.2025

Kübra Saka Ilgın

https://doi.org/10.25095/mufad.1571822

Abstract

This paper investigates the short and long-term relationship between Bitcoin returns and the Crypto Fear and Greed Index, which represents investor sentiment in cryptocurrency markets, and the direction and intensity of this relationship. The paper analyzed daily data sets for the period 01.02.2018-07.09.2022 were analyzed with the A-ARDL (Augmented Autoregressive Distributed Lag) method. In the study, where financial stress and VIX Fear indices were used as control variables, it was found that investor sentiment positively and significantly affected Bitcoin returns in the short and long term. Accordingly, it was determined that the increase in the feeling of greed (fear) positively (negatively) affected Bitcoin returns. It can be stated that this finding is compatible with behavioral finance and investor sentiment theories.

Keywords

Investor Sentiment, Bitcoin, Cyrpto Fear&Greed Index

Yatırımcı Duyarlılığı Kripto Para Piyasalarını Nasıl Etkiler? Bitcoin İncelemesi

Abstract

Bu çalışma Bitcoin getirileri ile kripto para piyasalarındaki yatırımcı duyarlılığını temsil eden Kripto Korku ve Açgözlülük Endeksi arasındaki kısa ve uzun dönemli ilişkiyi ve bu ilişkinin yönünü ve şiddetini araştırmaktadır. Çalışmada 01.02.2018-07.09.2022 dönemine ait günlük veri setleri A-ARDL (Augmented Autoregressive Distributed Lag) yöntemi ile analize tabi tutulmuştur. Finansal stres ve VIX Korku endekslerinin de kontrol değişkenler olarak kullanıldığı çalışmada yatırımcı duyarlılığının Bitcoin getirilerini kısa ve uzun dönemde pozitif ve önemli seviyede etkilediği bulgusu elde edilmiştir. Buna göre açgözlülük (korku) duygusundaki artışın Bitcoin getirilerini pozitif (negatif) etkilediği belirlenmiştir. Elde edilen bu bulgunun davranışsal finans ve yatırımcı duyarlılığı teorileriyle uyumlu olduğu ifade edilebilmektedir.

Keywords

Yatırımcı duyarlılığı, Bitcoin, Kripto Korku ve Açgözlülük Endeksi.

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