Abstract

This study introduces a comprehensive Google search volume based Bitcoin Sentiment Index (BSI) and investigates its symmetric and asymmetric association with Bitcoin's returns, volume, and volatility, and with United States Dollar (USD) exchange rates. Our results indicate a positive association of BSI with Bitcoin's returns and volume, but a negative relationship with its return volatility. Besides, Bitcoin's optimistic sentiments have an asymmetric relationship with the USD exchange rate in the short-run, and the Bitcoin price has an asymmetric and negative association with USD in the short-run and long-run. We also found a 35.47% speed of adjustment to long-run equilibrium.

摘要

本研究介绍了基于谷歌搜索量的综合比特币情绪指数 (BSI)，并研究了其与比特币的回报、交易量和波动性以及美元 (USD) 汇率的对称和非对称关联。我们的结果表明 BSI 与比特币的回报和交易量呈正相关，但与其回报波动呈负相关。此外，比特币的乐观情绪在短期内与美元汇率存在不对称关系，比特币价格在短期和长期与美元存在不对称负相关关系。我们还发现调整到长期均衡的速度为 35.47%。