Bitcoin and sentiment

Jo, Hoje; Park, Haehean; Shefrin, Hersh

doi:10.1002/fut.22156

Cited by 17 publications

(2 citation statements)

References 39 publications

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“…Hattori and Ishida (2021) use the bid‐ask spread as the proxy for the actual trading cost of an investor engaging in the arbitrage between bitcoin spot and futures markets. In addition, Jo et al (2020) develop a sentiment‐dependent factor model and find that bitcoin returns resemble high sentiment beta stock returns. Demir et al (2018) find that the economic policy uncertainty index is able to predict bitcoin returns.…”

Section: Relevant Theories Of Commodity Futures Risk Premiamentioning

confidence: 99%

Bitcoin futures risk premia

Shi

2022

Journal of Futures Markets

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This paper presents an empirical analysis of bitcoin futures risk premia. Based on the relevant theories and empirical findings of commodity futures risk premia, we study a battery of predictors, including position-based measures, market microstructure factors, and macroeconomic variables. We find that trading activity and extreme sentiment of speculators and retailers present significant predicting power on the subsequent bitcoin futures price changes over different time horizons. We also find evidence that the lower transaction cost, the higher bitcoin futures risk premiums. Regarding macroeconomic variables, financial conditions index, TED spread, US M2 money stock, and funding cost of financial institutions could predict bitcoin futures returns. The return impact of net position changes of hedgers is likely to be affected by extremes in macroeconomic variables. Speculators behave like negative feedback traders, while retailers are positive feedback traders. This detailed analysis of the risk premia of this emerging derivatives market provides critical implications.

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Section: Relevant Theories Of Commodity Futures Risk Premiamentioning

confidence: 99%

Bitcoin futures risk premia

Shi

2022

Journal of Futures Markets

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“…Moreover, because of their higher risk, expected high return, lower transaction costs, and so on, cryptocurrencies attract a variety of investors, including individual investors. Bitcoin, one of the most well-known cryptocurrencies [28], has garnered the most attention [29][30][31][32][33][34][35][36] among cryptocurrencies.…”

Section: Introductionmentioning

confidence: 99%

Enhancing Crypto Success via Heatmap Visualization of Big Data Analytics for Numerous Variable Moving Average Strategies

Chiu,

Ni,

et al. 2023

Applied Sciences

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This study employed variable moving average (VMA) trading rules and heatmap visualization because the flexibility advantage of the VMA technique and the presentation of numerous outcomes using the heatmap visualization technique may not have been thoroughly considered in prior financial research. We not only employ multiple VMA trading rules in trading crypto futures but also present our overall results through heatmap visualization, which will aid investors in selecting an appropriate VMA trading rule, thereby likely generating profits after screening the results generated from various VMA trading rules. Unexpectedly, we demonstrate in this study that our results may impress Ethereum futures traders by disclosing a heatmap matrix that displays multiple geometric average returns (GARs) exceeding 40%, in accordance with various VMA trading rules. Thus, we argue that this study extracted the diverse trading performance of various VMA trading rules, utilized a big data analytics technique for knowledge extraction to observe and evaluate numerous results via heatmap visualization, and then employed this knowledge for investments, thereby contributing to the extant literature. Consequently, this study may cast light on the significance of decision making via big data analytics.

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Investor Sentiment, Unexpected Inflation, and Bitcoin Basis Risk

Conlon,

Corbet,

Oxley

2024

Journal of Futures Markets

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The introduction of regulated CME futures contracts on Bitcoin in 2017 raised an expectation that cryptocurrencies would become part of mainstream financial markets. This also heightened links between traditional markets and Bitcoin, implying that the cryptocurrency would be subject to systematic spillovers. This paper uses high‐frequency data to examine whether Bitcoin basis risk is linked to investor sentiment from established financial markets. Our findings indicate that extreme investor sentiment, as reflected by the tail risk in various volatility indices, including the VIX, consistently correlates with a negative Bitcoin basis, where Bitcoin futures prices are lower than spot prices. Fluctuations significantly influence this relationship in the trading volume of Bitcoin futures and are more pronounced during periods of substantial unexpected inflation and deflation. These results underline the complex dynamics between market sentiment and cryptocurrency pricing, offering insights with substantial implications for investors and policymakers.

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Bitcoin and sentiment

Cited by 17 publications

References 39 publications

Bitcoin futures risk premia

Bitcoin futures risk premia

Enhancing Crypto Success via Heatmap Visualization of Big Data Analytics for Numerous Variable Moving Average Strategies

Investor Sentiment, Unexpected Inflation, and Bitcoin Basis Risk

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