Earticle

초록

영어

We examine how investor emotions and Bitcoin price influence each other using high-frequency data and NLP analysis. Emotions regarding Bitcoin are extracted from an online chatting window at one of the largest cryptocurrency exchanges in Korea. To control for global factors, we analyze relative Bitcoin prices, Korean premium, and differences between Korean exchange and other global prices. We aggregate intraday high-frequency data at five-minute intervals from October 8, 2017 to January 23, 2018. The identified emotions predict the return and volatility of Korean premium five minutes ahead. The results are economically significant: simple trading strategies using the relationship between emotions and Bitcoin prices generate profits. Consequently, investor emotions drive Bitcoin prices, suggesting irrational crypto-markets that rational speculators can exploit, but policy makers need to address.

목차

Abstract
Introduction
Data Collection
Emotions and the Bitcoin premium
Granger causality test
Trading Profits
Conclusions
References

키워드

저자

• Hyoung-Goo Kang [ Hanyang University, Seoul, Korea ]
• Kyounghun Bae [ Hanyang University, Seoul, Korea ]
• Joon Chae [ Seoul National University, Seoul, Korea ]
• Bonha Koo [ Dongguk University, Seoul, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국경영정보학회 정기 학술대회 [KMIS Conference]

• 간기

  반년간

• 수록기간

  1990~2026

• 십진분류

  KDC 325 DDC 658