News Sentiment in the Cryptocurrency Market: an Empirical Comparison with ForexCitation formats

Standard

News Sentiment in the Cryptocurrency Market: an Empirical Comparison with Forex. / Rognone, Lavinia; Hyde, Stuart; Zhang, Sarah.

In: International Review of Financial Analysis, 2020.

Research output: Contribution to journal › Article › peer-review

Harvard

Rognone, L, Hyde, S & Zhang, S 2020, 'News Sentiment in the Cryptocurrency Market: an Empirical Comparison with Forex', International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2020.101462

APA

Rognone, L., Hyde, S., & Zhang, S. (2020). News Sentiment in the Cryptocurrency Market: an Empirical Comparison with Forex. International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2020.101462

Vancouver

Rognone L, Hyde S, Zhang S. News Sentiment in the Cryptocurrency Market: an Empirical Comparison with Forex. International Review of Financial Analysis. 2020. https://doi.org/10.1016/j.irfa.2020.101462

Author

Rognone, Lavinia ; Hyde, Stuart ; Zhang, Sarah. / News Sentiment in the Cryptocurrency Market: an Empirical Comparison with Forex. In: International Review of Financial Analysis. 2020.

Bibtex

@article{e6c578b392704aabacdada0d6d82c101,
title = "News Sentiment in the Cryptocurrency Market: an Empirical Comparison with Forex",
abstract = "We use high frequency intra-day data to investigate the influence of unscheduled currency and Bitcoin news on the returns, volume and volatility of the cryptocurrency Bitcoin and traditional currencies over the period from January 2012 to November 2018. Results show that Bitcoin behaves differently to traditional currencies. Traditional currencies typically experience a decrease in returns after negative news arrivals and an increase in returns following positive news whereas Bitcoin reacts positively to both positive and negative news. This suggests investor enthusiasm for Bitcoin irrespective of the sentiment of the news. This phenomenon is exacerbated during bubble periods. Conversely, cryptocurrency cyber-attack news and fraud news dampen this effect, decreasing Bitcoin returns and volatility. Our results contribute to the discussion on the nature of Bitcoin as a currency or an asset. They further inform practitioners about the characteristics of cryptocurrencies as a financial asset and inform regulators about the influence of news on Bitcoin volatility, particularly during bubble periods.",
author = "Lavinia Rognone and Stuart Hyde and Sarah Zhang",
year = "2020",
doi = "10.1016/j.irfa.2020.101462",
language = "English",
journal = "International Review of Financial Analysis",
issn = "1057-5219",
publisher = "Elsevier BV",

}

RIS

TY - JOUR

T1 - News Sentiment in the Cryptocurrency Market: an Empirical Comparison with Forex

AU - Rognone, Lavinia

AU - Hyde, Stuart

AU - Zhang, Sarah

PY - 2020

Y1 - 2020

N2 - We use high frequency intra-day data to investigate the influence of unscheduled currency and Bitcoin news on the returns, volume and volatility of the cryptocurrency Bitcoin and traditional currencies over the period from January 2012 to November 2018. Results show that Bitcoin behaves differently to traditional currencies. Traditional currencies typically experience a decrease in returns after negative news arrivals and an increase in returns following positive news whereas Bitcoin reacts positively to both positive and negative news. This suggests investor enthusiasm for Bitcoin irrespective of the sentiment of the news. This phenomenon is exacerbated during bubble periods. Conversely, cryptocurrency cyber-attack news and fraud news dampen this effect, decreasing Bitcoin returns and volatility. Our results contribute to the discussion on the nature of Bitcoin as a currency or an asset. They further inform practitioners about the characteristics of cryptocurrencies as a financial asset and inform regulators about the influence of news on Bitcoin volatility, particularly during bubble periods.

AB - We use high frequency intra-day data to investigate the influence of unscheduled currency and Bitcoin news on the returns, volume and volatility of the cryptocurrency Bitcoin and traditional currencies over the period from January 2012 to November 2018. Results show that Bitcoin behaves differently to traditional currencies. Traditional currencies typically experience a decrease in returns after negative news arrivals and an increase in returns following positive news whereas Bitcoin reacts positively to both positive and negative news. This suggests investor enthusiasm for Bitcoin irrespective of the sentiment of the news. This phenomenon is exacerbated during bubble periods. Conversely, cryptocurrency cyber-attack news and fraud news dampen this effect, decreasing Bitcoin returns and volatility. Our results contribute to the discussion on the nature of Bitcoin as a currency or an asset. They further inform practitioners about the characteristics of cryptocurrencies as a financial asset and inform regulators about the influence of news on Bitcoin volatility, particularly during bubble periods.

U2 - 10.1016/j.irfa.2020.101462

DO - 10.1016/j.irfa.2020.101462

M3 - Article

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

ER -