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

Authors : Ibrahim Yağli, Özkan Haykir

Pages : 293-305

Doi:10.30794/pausbed.1183813

View : 122 | Download : 116

Publication Date : 2023-11-22

Article Type : Research Paper

Abstract :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.
Keywords : Yatırımcı mutluluğu, Kriptopara birimi, Granger nedensellik, Etki tepki analizi

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