Bitcoin:Exploring Price Predictability and the Impact of Investor Sentiment  

作　　者：Everton Anger Cavalheiro Paulo Sérgio Ceretta Luíza Roloff Falck 

机构地区：[1]Federal University of Pelotas,Pelotas,Brazil [2]Federal University of Santa Maria,Santa Maria,Brazil [3]Federal University of Pelotas,São Lourenço do Sul,Brazil

出　　处：《Chinese Business Review》2023年第2期45-60,共16页中国经济评论（英文版）

摘　　要：This article addresses the predictability of Bitcoin’s price by examining relationships between Bitcoin and financial and emotional variables such as the Fear and Greed Index(FGI),the American Interest Rate(FED),and the Stock Market Index(NASDAQ).Through the use of statistical techniques such as the Johansen Cointegration Test and Granger Causality,as well as forecasting models,the study reveals that,despite the notorious volatility of the cryptocurrency market,it is possible to identify consistent behavioral patterns that can be successfully used to predict Bitcoin returns.The approach that combines VAR models and neural networks stands out as an effective tool to assist investors and analysts in making informed decisions in an ever-changing market environment.

关 键 词：Bitcoin price predictability fear and greed index American interest rate NASDAQ 

分 类 号：F49[经济管理—产业经济]