Can investor's sentiment from forum posts predict bitcoin return?

Abstract

This study aims to investigate if the investors’ sentiment expressed on contentspecific online forum affects the return of Bitcoin. We use a large dataset consisting of 2.8 million forum posts sourced from “Bitcointalk.org” for a period between Jan 2016 and May 2020. The sentiment is derived daily with the Hu Liu lexical model after a detailed investigation of different lexicons. Using time-series data, we test for the relationship between the investors’ sentiment and Bitcoin price along with other financial variables that may inform about the direction of Bitcoin price. Our results show that sentiment derived from online forums do not present an autoregressive relationship with return of Bitcoin