General Issue

How does investor sentiment affect the Korean premium in the Bitcoin market?

Published in: Investment Analysts Journal
Volume 54 , issue 3 , 2025 , pages: 456–487

DOI: 10.1080/10293523.2024.2417331

Author(s): Joon Chae Seoul National University, Republic of Korea , Kyounghun Bae Hanyang University, Republic of Korea , Hyoung-Goo Kang Hanyang University, Republic of Korea , Bonha Koo Chungnam National University, Republic of Korea

Keywords: Bitcoin , Investor Sentiment , Online Chatting , Textual Analysis , Multi-Class Emotions , G7 , G10

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Abstract

We examine how investor emotions and Bitcoin price influence each other using intraday data and textual analysis. We extract emotions from a popular online chatting window at one of the largest cryptocurrency exchanges in Korea. To control for global factors, we analyse relative Bitcoin prices and the differences between the Korean exchange and other global prices. The identified emotions predict the return and volatility of Bitcoin price one hour ahead. The results are economically significant: simple arbitrage trading strategies using the relationship between emotions and Bitcoin prices generate profits. Consequently, investor emotions drive Bitcoin prices, suggesting irrational crypto-markets that rational speculators may exploit.

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