Bitcoin Sentiment Index and its Impact on Stock Market Returns: An Evidence from 28 countries
DOI:
https://doi.org/10.22555/pbr.v27i4.1502Keywords:
Behavioural finance, Bitcoin sentiment index, ordinary least square, regression, stock returnAbstract
Investor psychology is one of the determinants of asset pricing according to Behavioral Finance. The tool of diversification is used for increasing returns and avoiding risk. In this study, Bitcoin as a new investment avenue is explored. The main objective of this study is to measure the effect of the Bitcoin investors’ sentiments on the stock market returns of developed and developing countries worldwide. This impact is measured through a newly constructed sentiment index for each of the 28 sample countries. For the sample period of 01st Jan 2014 to 30th May 2023 on a daily basis, data, such as an impact, is measured through the ordinary least squares OLS method. The findings suggest that the(negative and positive) Bitcoin Sentiment Index significantly affects the stock market returns of the 28 sample countries. Furthermore, Bitcoin shares characteristics with other financial assets and commodities, making it suitable for inclusion in an ideal portfolio.These findings have crucial empirical implications for investors, policymakers, and cross-border portfolio managers, who must make informed short-term and long-term decisions to plan their diversification strategies and consider including Bitcoin as a financial asset.
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