The dynamics of cryptocurrency market from behavioral finance perspective

Almisshal B., BULUT H. İ.

Journal of Behavioral and Experimental Finance, cilt.49, 2026 (SSCI, Scopus) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 49
  • Basım Tarihi: 2026
  • Doi Numarası: 10.1016/j.jbef.2025.101126
  • Dergi Adı: Journal of Behavioral and Experimental Finance
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Anahtar Kelimeler: ARDL, Behavioral finance, Cryptocurrency, Investor sentiment, VAR, Volatility
  • Karadeniz Teknik Üniversitesi Adresli: Evet

Özet

This study constructs a Composite Investor Sentiment Index (CIST) integrating six behavioral and market-based proxies to examine how investor sentiment influences cryptocurrency returns and volatility. Using weekly data from March 2018-July 2023, we decompose sentiment into rational and irrational components via ARDL and analyze dynamic effects through VAR and impulse responses. The first principal component explains almost 70 % of total variance. Results show that rational sentiment exerts persistent, long-run effects on returns and volatility, while irrational sentiment causes short-lived volatility spikes. The findings advance behavioral finance by demonstrating that distinguishing cognitive from emotional investor reactions enhances understanding of cryptocurrency market behavior.