This paper examines the relationship between cryptocurrency market dynamics and investor sentiment, employing advanced techniques like time-variant Granger causality and asymmetric time-varying parameter vector autoregression (TVP-VAR) frequency connectivity. We create unique sentiment analysis tools, including a custom cryptocurrency sentiment lexicon, to deeply analyze content in the cryptocurrency domain, particularly focusing on investor discussions and viewpoints. Our findings demonstrate a significant, evolving link between market sentiment and cryptocurrency movements. A key observation is that the volatility of shock transmission is tightly connected to major market events, often influenced by large-scale investors, or “whales”. Our study indicates that market sentiment consistently affects both short- and long-term cryptocurrency volatility, underlining the crucial influence of investor sentiment in driving the dynamics of the cryptocurrency market. This underscores the importance of understanding investor sentiment for predicting and navigating the cryptocurrency market.

中文翻译：

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从鲸鱼到波浪：加密货币市场的社交媒体情绪、波动性和鲸鱼

本文采用时变格兰杰因果关系和非对称时变参数向量自回归 （TVP-VAR） 频率连通性等先进技术，研究了加密货币市场动态与投资者情绪之间的关系。我们创建了独特的情绪分析工具，包括自定义加密货币情绪词典，以深入分析加密货币领域的内容，特别是关注投资者的讨论和观点。我们的研究结果表明，市场情绪和加密货币走势之间存在着重要的、不断发展的联系。一个关键的观察结果是，冲击传递的波动性与重大市场事件密切相关，通常受到大型投资者或“鲸鱼”的影响。我们的研究表明，市场情绪始终影响短期和长期加密货币波动性，凸显了投资者情绪在推动加密货币市场动态方面的关键影响。这凸显了了解投资者情绪对于预测和驾驭加密货币市场的重要性。