Emotions in the crypto market: Do photos really speak?

Nhan Huynh; Hoa Phan

doi:10.1016/j.frl.2023.103945

Emotions in the crypto market: Do photos really speak?

Nhan Huynh, Hoa Phan

Department of Applied Finance

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

4 Citations (Scopus)

101 Downloads (Pure)

Abstract

This study examines whether the emotions contained in new photos can affect the cryptocurrency market. Utilizing the daily data on top 100 cryptocurrencies, we find that the surge in ratio of photos comprising pessimistic tones is associated with negative coin returns. Photo sentiment positively predicts subsequent returns and trading intensity, implying the subsequent corrections. The photo sentiment also drives risks up with higher price volatilities. The predictive power is more pronounced during periods of elevated fear proxied by investors’ risk aversion. Our results remain robust with alternative sentiment proxies, risk-adjusted returns, and a battery of subsample analyses.

Original language	English
Article number	103945
Pages (from-to)	1-9
Number of pages	9
Journal	Finance Research Letters
Volume	55
Early online date	28 Apr 2023
DOIs	https://doi.org/10.1016/j.frl.2023.103945
Publication status	Published - Jul 2023

Bibliographical note

© 2023 The Author(s). Published by Elsevier Inc. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

Keywords

Cryptocurrency market
Investor sentiment
Photo sentiment
Return predictability

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10.1016/j.frl.2023.103945Licence: CC BY-NC-ND

Publisher version (open access)Final published version, 473 KBLicence: CC BY-NC-ND

Cite this

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title = "Emotions in the crypto market: Do photos really speak?",

abstract = "This study examines whether the emotions contained in new photos can affect the cryptocurrency market. Utilizing the daily data on top 100 cryptocurrencies, we find that the surge in ratio of photos comprising pessimistic tones is associated with negative coin returns. Photo sentiment positively predicts subsequent returns and trading intensity, implying the subsequent corrections. The photo sentiment also drives risks up with higher price volatilities. The predictive power is more pronounced during periods of elevated fear proxied by investors{\textquoteright} risk aversion. Our results remain robust with alternative sentiment proxies, risk-adjusted returns, and a battery of subsample analyses.",

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N2 - This study examines whether the emotions contained in new photos can affect the cryptocurrency market. Utilizing the daily data on top 100 cryptocurrencies, we find that the surge in ratio of photos comprising pessimistic tones is associated with negative coin returns. Photo sentiment positively predicts subsequent returns and trading intensity, implying the subsequent corrections. The photo sentiment also drives risks up with higher price volatilities. The predictive power is more pronounced during periods of elevated fear proxied by investors’ risk aversion. Our results remain robust with alternative sentiment proxies, risk-adjusted returns, and a battery of subsample analyses.

AB - This study examines whether the emotions contained in new photos can affect the cryptocurrency market. Utilizing the daily data on top 100 cryptocurrencies, we find that the surge in ratio of photos comprising pessimistic tones is associated with negative coin returns. Photo sentiment positively predicts subsequent returns and trading intensity, implying the subsequent corrections. The photo sentiment also drives risks up with higher price volatilities. The predictive power is more pronounced during periods of elevated fear proxied by investors’ risk aversion. Our results remain robust with alternative sentiment proxies, risk-adjusted returns, and a battery of subsample analyses.

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KW - Return predictability

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Emotions in the crypto market: Do photos really speak?

Abstract

Bibliographical note

Keywords

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