Investor sentiment and the holiday effect in the cryptocurrency market:evidence from China  

作　　者：Pengcheng Zhang Kunpeng Xu Jian Huang Jiayin Qi 

机构地区：[1]School of Business and Management,Shanghai International Studies University,Shanghai,China [2]School of Statistics and Information,Shanghai University of International Business and Economics,Shanghai,China [3]College of Business and Economics,Towson University,Towson,MD,USA [4]School of Cyberspace Security,Guangzhou University,Guangzhou,China

出　　处：《Financial Innovation》2024年第1期967-1002,共36页金融创新(英文)

基　　金：One of the authors(Jian Huang)received research support from Towson University,for this research.

摘　　要：This study employs a fixed-effects model to investigate the holiday effect in the cryptocurrency market,using trading data for the top 100 cryptocurrencies by market capitalization on Coinmarketcap.com from January 1,2017 to July 1,2022.The results indicate that returns on cryptocurrencies increase significantly during Chinese holiday periods.Additionally,we use textual analysis to construct an investor sentiment indicator and find that positive investor sentiment boosts cryptocurrency market returns.However,when positive investor sentiment prevails in the cryptocurrency market,the holiday effect weakens,implying that positive investor sentiment attenuates the holiday effect.Robustness tests based on the Bitcoin market generate consistent results.Moreover,this study explores the mechanisms underlying the cryptocurrency holiday effect and examines the impact of epidemic transmission risk and heterogeneity characteristics on this phenomenon.These findings offer novel insights into the impact of Chinese statutory holidays on the cryptocurrency market and illuminate the role of investor sentiment in this market.

关 键 词：Cryptocurrency Holiday effect Investor sentiment Text analysis 

分 类 号：F42[经济管理—产业经济]