|
|
Vliv sentimentu na kryptoměnové trhy
Maňoušek, David
This paper empirically identifies the relationship between sentiment and cryptocurrency profitability. The analysis uses daily data for the five largest cryptocurrencies by market capi-talisation: bitcoin, ethereum, binance coin, ripple, and cardano. The sentiment variable used in the analysis is the Fear & Greed Index, which is a quantified measure of market fear and greed. We use wavelet coherence as the main method of the paper to determine the relationship between sentiment and cryptocurrency returns. All cryptocurrencies analysed have a positive correlation for investment horizons ranging from 4 to 32 days, with the sentiment variable as the leading indicator. For traders belonging to the group investing in cryptocurrencies for time frames of 4 to 32 days, the Fear & Greed Index can be used as an indicator to optimise trade entry. If the Fear & Greed Index is rising, investors can expect an increase in returns over a 4 to 32 day horizon and open a long position in response to the move, profiting from the move. The recommendation also applies with the opposite sign: if the Fear & Greed Index falls, investors can speculate on a fall in returns. For longer investment horizons, the Fear & Greed Index acts as a lagging indicator and should not be used to predict future market movements.
|
guest ::
