Investor sentiment and bitcoin prices

Using a rich data set of transaction-level buy and sell orders from the major digital currency exchange Coinbase, we formulate measure for investor sentiment shed new evidence on sentiment-return relation bitcoin. bootstrapped quantile regression procedure show significant robust between rising price increases, vice versa, across distribution bitcoin changes. This is shown to be when controlling variety exchange-specific blockchain-wide variables. also aggregate momentum cryptocurrencies. finding important as our sample spans period before after introduction futures markets bitcoin, which has arguably resulted in regime shift time series behavior its price. Taken together, results that prices can undergo changes conventional regression-type models focus center yield misleading estimates.