Bitcoin Sentiment Index, Bitcoin Performance and US Dollar Exchange Rate

Abstract

This study introduces a comprehensive Google search volume based Bitcoin Sentiment Index (BSI) and investigates its symmetric and asymmetric association with Bitcoin's returns, volume, and volatility, and with United States Dollar (USD) exchange rates. Our results indicate a positive association of BSI with Bitcoin's returns and volume, but a negative relationship with its return volatility. Besides, Bitcoin's optimistic sentiments have an asymmetric relationship with the USD exchange rate in the short-run, and the Bitcoin price has an asymmetric and negative association with USD in the short-run and long-run. We also found a 35.47% speed of adjustment to long-run equilibrium.