If you feel good, I feel good! The mediating effect of behavioral factors on the relationship between industry indices and Bitcoin returns
If you feel good, I feel good! The mediating effect of behavioral factors on the relationship between industry indices and Bitcoin returns
Do behavioral factors mediate the relationship between industry returns and Bitcoin returns? We use four industry indices in technology, energy, clean energy, and banking, and the Sentiment index from Thomson Reuters Marketpsych Indices as a behavioral factor to investigate this question. We show that the sensitivities of technology and clean energy industry indices to Sentiment, positively and significantly, strengthen the relationship between sentiment and Bitcoin returns. By showing that behavioral factors mediate the association between the returns of industry indices and Bitcoin returns, we provide evidence that investors’ Sentiment captures the association between Bitcoin and sectors related to cryptocurrencies. Our results, however, do not support prior studies’ findings of a direct relationship between the industry indices and Bitcoin returns.
Kalyvas, Nikolaos
b90c20b2-9fd4-4d5d-a123-34a193e1ca1d
Li, Zeming
8792bc7f-3c33-4989-8665-c2558ef0c0ba
Papakyriakou, Panayiotis
71bed450-1b8e-4a9c-a393-60017c63b2d4
Sakkas, Athanasios
5a69d77a-fcea-4e07-bc18-5a8934a4899b
Kalyvas, Nikolaos
b90c20b2-9fd4-4d5d-a123-34a193e1ca1d
Li, Zeming
8792bc7f-3c33-4989-8665-c2558ef0c0ba
Papakyriakou, Panayiotis
71bed450-1b8e-4a9c-a393-60017c63b2d4
Sakkas, Athanasios
5a69d77a-fcea-4e07-bc18-5a8934a4899b
Kalyvas, Nikolaos, Li, Zeming, Papakyriakou, Panayiotis and Sakkas, Athanasios
(2021)
If you feel good, I feel good! The mediating effect of behavioral factors on the relationship between industry indices and Bitcoin returns.
The European Journal of Finance (REJF).
(doi:10.1080/1351847X.2021.1976665).
Abstract
Do behavioral factors mediate the relationship between industry returns and Bitcoin returns? We use four industry indices in technology, energy, clean energy, and banking, and the Sentiment index from Thomson Reuters Marketpsych Indices as a behavioral factor to investigate this question. We show that the sensitivities of technology and clean energy industry indices to Sentiment, positively and significantly, strengthen the relationship between sentiment and Bitcoin returns. By showing that behavioral factors mediate the association between the returns of industry indices and Bitcoin returns, we provide evidence that investors’ Sentiment captures the association between Bitcoin and sectors related to cryptocurrencies. Our results, however, do not support prior studies’ findings of a direct relationship between the industry indices and Bitcoin returns.
Text
If you feel good, I feel good ... v9 final (1)
- Accepted Manuscript
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Accepted/In Press date: 25 August 2021
e-pub ahead of print date: 17 September 2021
Identifiers
Local EPrints ID: 450956
URI: http://eprints.soton.ac.uk/id/eprint/450956
ISSN: 1351-847X
PURE UUID: b9f9350d-4185-43f7-ad5e-1ae69de7802c
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Date deposited: 26 Aug 2021 16:32
Last modified: 30 Oct 2023 03:10
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Author:
Nikolaos Kalyvas
Author:
Zeming Li
Author:
Athanasios Sakkas
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