ML-CryptoSI: A Multilingual Crypto Sentiment Index and its Role in Bitcoin and Ethereum Pricing

Abstract

Cryptocurrency prices often move with narratives and investor sentiment. This paper builds a multilingual crypto sentiment index, ML-CryptoSI, using daily news text in six languages and Binance market data for BTC and ETH. We first aggregate language-level daily sentiment and then use PCA to extract the common component across languages. Next, we test whether ML-CryptoSI predicts next-day returns and volatility proxies after controlling for lagged market conditions, liquidity, and day-of-week fixed effects. The results show that ML-CryptoSI has incremental information for returns, especially for ETH, and the effect is stronger on high news-intensity days. In contrast, the evidence for volatility prediction is weak in this short sample. Overall, the findings suggest that the common factor in multilingual news sentiment matters for short-run crypto pricing and is state dependent.