Yes / This paper explores the relationship between news media sentiment and spillover effects in the cryptocurrency market. By employing a time-varying parameter vector autoregressive model, we initially develop measures of spillover specific to individual cryptocurrencies. Subsequently, we employ unique data on cryptocurrency-specific sentiment to assess its impact on these spillover measures using panel fixed effects regression analysis. Our findings indicate that news media sentiment plays a significant role in explaining the spillover dynamics within the cryptocurrency market. Unlike traditional assets, it appears that only positive sentiment affects the spillovers among cryptocurrencies, suggesting an asymmetric effect. Taking into account various characteristics of cryptocurrencies, we find that sentiment’s impact on spillover is more pronounced in community-based coins than in those driven by firms. An examination of news content suggests that sentiment pertaining to emotional and risk aspects of cryptocurrencies predominantly influences these spillovers. Additionally, a comparative analysis of sentiment derived from social media and traditional news sources reveals a stronger influence of the former on spillover effects. Through extensive robustness checks, our research consistently affirms the pivotal role of sentiment in driving spillovers among cryptocurrency returns, underlining the importance of sentiment analysis in understanding the dynamics of the cryptocurrency market. / The full-text of this article will be released for public view at the end of the publisher embargo on 11 Sep 2025.

京都大学 / 新制・課程博士 / 博士(情報学) / 甲第24740号 / 情博第828号 / 新制||情||139(附属図書館) / 京都大学大学院情報学研究科数理工学専攻 / (主査)教授 梅野 健, 教授 山下 信雄, 准教授 加嶋 健司 / 学位規則第4条第1項該当 / Doctor of Informatics / Kyoto University / DFAM

In this paper, the price fluctuations of Bitcoin under speculative environment is studied. It has been seen that the market trend points out an existence of a speculative bubble. Over the course of the period from 2014 to 2018, the trend in price movements of bitcoin has proved to be strongly speculative. In that regard, investors might be curious about what drivers might be instrumental in these speculative price changes.  After reviewing of NPV, it was seen that NPV is not applicable to the case of cryptocurrencies due to their nature and lack of free cash flows to base the asset valuation to some fundamental facts. Later, LPPL model is reviewed, however, that also proved to be insufficient since it does not reflect the investor speculations and inform much about price dynamics regarding behavioral finance principles. Then, some papers from the past price fluctuations of bitcoin (for the period from 2010 to 2013) was reviewed and three key variables were determined which might explain price movements. Public interest towards Bitcoin as interest-driven, regulatory and political news about cryptocurrencies as event-driven and VIX as overall investor approach to Bitcoin market have been taken. After running regressions, the only significant variable happened to be public interest and popularity of Bitcoin. Although, for some cases, VIX variable also explain price fluctuations for some intervals, in none of the cases event-driven variable has long- terms effect on price fluctuations under speculative environment. Lastly, a robustness test is also handled considering the “weekend effect” and it has been seen public interest variable again proved to be a significant price determinant.