An Empirical Study On The Impact Of Investor Sentiment On Bitcoin Price Fluctuations

The efficient market hypothesis assumes that market participants are rational,Then in real life Market participants tend to be bounded rational.At some point,irrationality occurs.This coincides with the ups and downs in the market.Behavioral finance holds that asset prices are largely influenced by investor sentiment.Changes in investor sentiment and their behavioral drivers will have a great impact on asset prices.In the financial market,bull market often occurs,and there are many speculative bull markets.The speculative bull market often causes very serious consequences,and even produces systemic risks.In speculative bull markets,there will always be crazy rises and panic cliff-like falls at the end of the bull market.In this process,investor sentiment plays an important role and has an important impact on prices.Bitcoin market had a bull market in 2017.In 2018,however,prices have turned sharply downward.The market was filled with greed and panic.In this context,this paper intends to further test the role and influence of investor sentiment in Bitcoin market by investor sentiment on Bitcoin market.This paper focuses on several issues: firstly,rebuilding the investor sentiment suitable for Bitcoin market;secondly,we carry out empirical research on the impact of investor sentiment on Bitcoin market,mainly based on the relationship between investor sentiment and Bitcoin price,and the relationship between investor sentiment and yield;finally,we give the conclusion of this paper.Through the study of investor sentiment in Bitcoin market,the following conclusions are drawn: First.There is a positive long-term equilibrium relationship between investor sentiment and Bitcoin price,and investor sentiment is an important force that constitutes the short-term fluctuation of Bitcoin price;Secend.There is a oneway causal relationship between investor sentiment and return,that is,the change of return is the cause of the change of investor sentiment;Third.The analysis of variance decomposition of impact effect shows that most of the volatility of investor sentiment and return comes from itself.The purpose of this paper is to reveal the relationship between investor sentiment and Bitcoin price volatility,and to provide evidence from the Bitcoin market for behavioral finance.But it is undeniable that the research on investor sentiment in this paper is not deep enough.Especially in emerging markets such as Bitcoin market,the fluctuation of investor sentiment will bring more uncertainty to the market.In the future,we need to have a deeper understanding of the objective law of investor sentiment and price fluctuation of Bitcoin.