INVESTOR HAPPINESS AND CRYPTOCURRENCY RETURNS: FRESH EVIDENCE FROM TOP FIVE CRYPTOCURRENCIES

Öz

The study aims to investigate the causality relationship between investor happiness and cryptocurrency returns. The study is focused on the five largest cryptocurrencies, specifically Bitcoin (BTC), Ethereum (ETH), Binance Coin (BNB), Ripple (XRP), and Cardano (ADA). Twitter-based Happiness Index is used to measure investor happiness. The sample period covers the period between January 1, 2019, and October 2, 2021. The Zivot-Andrews test is employed to detect stationary of covariates. After ensuring that all variables are stationary at levels, the Granger causality test is adopted to understand the relationship between the happiness index and cryptocurrency returns. The impulse-response functions are illustrated. The results indicate that there is a uni-directional relationship from BTC to Happiness Index, and Happiness Index to ETH. Considering that the causal relationship between cryptocurrency returns and investor happiness differs between cryptocurrencies, it is thought that investors should closely monitor the happiness index and make adjustments in their portfolios in response to changes in investor happiness.

Anahtar Kelimeler

• Investor happiness
• Cryptocurrency
• Granger causality
• Impulse-response analysis

YATIRIMCI MUTLULUĞU VE KRİPTO PARA GETİRİLERİ ARASINDAKİ İLİŞKİ: EN BÜYÜK İLK BEŞ KRİPTO PARA BİRİMİNDEN KANITLAR

Öz

Çalışma, yatırımcı mutluluğu ile kripto para getirileri arasındaki nedensellik ilişkisini ortaya çıkarmayı amaçlamaktadır. Bu amaç doğrultusunda piyasa değeri bakımından ilk sırada yer alan Bitcoin (BTC), Ethereum (ETH), Binance Coin (BNB), Ripple (XRP) ve Cardano (ADA)’ya odaklanılmıştır. Yatırımcı mutluluğunu ölçmek için ise Twitter tabanlı Mutluluk Endeksi kullanılmıştır. Çalışmanın örneklemi 1 Ocak 2019 ile 2 Ekim 2021 arasındaki dönemi kapsamaktadır. Çalışmada ortak değişkenlerin durağanlığını tespit etmek için Zivot-Andrews testinden faydalanılmıştır. Tüm değişkenlerin seviyelerde durağan olduğundan emin olduktan sonra, mutluluk endeksi ile kripto para getirileri arasındaki ilişkiyi anlamak için Granger nedensellik testi uygulanmıştır. Ayrıca etki-tepki analizi ile kripto para getirileri ve mutluluk endeksinde meydana gelecek şokların etkileri analiz edilmiştir. Bulgular, BTC'den Mutluluk Endeksi'ne ve Mutluluk Endeksi'nden ETH'ye tek yönlü bir ilişki olduğunu göstermektedir. Kripto para getirileri ile yatırımcı mutluluğu arasındaki nedensellik ilişkisinin kripto para birimleri arasında farklılık gösterdiği düşünüldüğünde, yatırımcıların mutluluk endeksini yakından takip etmeleri ve yatırımcı mutluluğundaki değişimlere karşılık portföylerinde ayarlamalar yapmaları gerektiği düşünülmektedir.

Anahtar Kelimeler

• Yatırımcı mutluluğu
• Kriptopara birimi
• Granger nedensellik
• Etki-tepki analizi

Kaynakça

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