If you feel good, I feel good! The mediating effect of behavioral factors on the relationship between industry indices and Bitcoin returns

Figures & data

Table 1. Correlations of Bitcoin and Industry indices returns.

ρ	Bitcoin Return	MSCI Information Technology Return	MSCI World Energy Return	S&P Global Clean Energy Return	MSCI World Bank Return
Bitcoin Return	1
MSCI Information Technology Return	0.0106	1
MSCI World Energy Return	0.0291	0.510***	1
S&P Global Clean Energy Return	0.0328	0.542***	0.524***	1
MSCI World Bank Return	0.0237	0.592***	0.623***	0.560***	1

Standard errors in parentheses

*p < 0.05, ** p < 0.01, *** p < 0.001.

Table 2. Bitcoin return on Industry return regressions.

	(1)	(2)	(3)	(4)
	Bitcoin Return	Bitcoin Return	Bitcoin Return	Bitcoin Return
Log Volume	0.00137***	0.00137***	0.00137***	0.00137***
	(0.000521)	(0.000522)	(0.000522)	(0.000522)
Log VIX	−0.0119***	−0.0116***	−0.0116***	−0.0115***
	(0.00432)	(0.00429)	(0.00429)	(0.00435)
Log EPU	0.00170	0.00164	0.00167	0.00164
	(0.00198)	(0.00197)	(0.00197)	(0.00197)
MSCI Information Technology Return	−0.00784
	(0.120)
MSCI World Energy Return		0.0416
		(0.0935)
S&P Global Clean Energy Return			0.0275
			(0.102)
MSCI World Bank Return				0.0438
				(0.116)
Constant	0.0307**	0.0301**	0.0303**	0.0300**
	(0.0144)	(0.0144)	(0.0144)	(0.0145)
Observations	1328	1328	1328	1328
Adj. R-Square	0.00880	0.00893	0.00885	0.00889

Standard errors in parentheses 

*p < 0.1, ** p < 0.05, *** p < 0.01

Table 3. Bitcoin return on Sentiment return regressions.

	(1)	(2)	(3)	(4)
	Bitcoin Return	Bitcoin Return	Bitcoin Return	Bitcoin Return
Sentiment RTN	−0.00352	−0.00365	−0.00350	−0.00323
	(0.00266)	(0.00266)	(0.00310)	(0.00314)
Log Volume		0.000870**	0.00149***	0.00151***
		(0.000423)	(0.000525)	(0.000527)
Log VIX			−0.0123***	−0.0123***
			(0.00432)	(0.00432)
Log EPU				0.00154
				(0.00203)
Constant	0.00297***	0.00503***	0.0393***	0.0328**
	(0.000758)	(0.00127)	(0.0118)	(0.0148)
Observations	1907	1904	1313	1313
Adj. R-Square	0.000444	0.00252	0.0114	0.0111

Standard errors in parentheses 

*p < 0.1, ** p < 0.05, *** p < 0.01

Table 4. Bitcoin and Industry sensitivity on Sentiment regressions (Fama and French 1993).

	(1)
	Bitcoin Sensitivity on Sentiment
MSCI IT Sensitivity on Sentiment	−0.000162**
	(0.0000650)
MSCI World Energy Sensitivity on Sentiment	−0.000342***
	(0.0000459)
S&P Global Clean Energy Sensitivity on Sentiment	2.055***
	(0.120)
MSCI World Bank Sensitivity on Sentiment	−7.950***
	(0.305)
Constant	−0.00794***
	(0.000334)
Observations	1105
Adj. R-Square	0.732

Standard errors in parentheses 

*p < 0.1, ** p < 0.05, *** p < 0.01

Table 5. Bitcoin return on Sentiment return regressions (Fama and French 1993).

	(1)	(2)	(3)	(4)
	Bitcoin Return	Bitcoin Return	Bitcoin Return	Bitcoin Return
Log Volume	0.00139**	0.00138**	0.00131**	0.00150**
	(0.000554)	(0.000569)	(0.000568)	(0.000584)
Log VIX	−0.0109**	−0.0109**	−0.00947**	−0.00840*
	(0.00451)	(0.00471)	(0.00474)	(0.00478)
Log EPU	0.00148	0.00147	0.00133	0.00111
	(0.00219)	(0.00229)	(0.00230)	(0.00229)
Sentiment RTN	−0.00282	−0.000928	0.00278	0.00233
	(0.00355)	(0.00487)	(0.00516)	(0.00877)
MSCI IT Sensitivity on Sentiment	−0.000356	−0.000361	−0.0000473	0.000143
	(0.000515)	(0.000576)	(0.000708)	(0.000725)
Sentiment RTN * MSCI IT Sensitivity on Sentiment	0.00148	0.00225	0.00524*	0.00531**
	(0.00227)	(0.00238)	(0.00267)	(0.00269)
MSCI World Energy Sensitivity on Sentiment		−0.0000134	−0.000119	0.000116
		(0.000404)	(0.000446)	(0.000432)
Sentiment RTN * MSCI World Energy Sensitivity on Sentiment		−0.00107	−0.00261*	−0.00264*
		(0.00131)	(0.00145)	(0.00138)
S&P Global Clean Energy Sensitivity on Sentiment			0.760	0.488
			(0.818)	(0.820)
Sentiment RTN * S&P Global Clean Energy Sensitivity on Sentiment			8.371***	8.716***
			(3.044)	(3.003)
MSCI World Bank Sensitivity on Sentiment				−5.499**
				(2.647)
Sentiment RTN * MSCI World Bank Sensitivity on Sentiment				−0.708
				(9.814)
Constant	0.0290*	0.0290*	0.0260*	0.0191
	(0.0160)	(0.0161)	(0.0158)	(0.0160)
Observations	1063	1063	1063	1063
Adj. R-Square	0.00847	0.00706	0.0108	0.0135

Standard errors in parentheses 

*p < 0.1, ** p < 0.05, *** p < 0.01

Table 6. Bitcoin return on Sentiment return regressions (Carhart 1997).

	(1)	(2)	(3)	(4)
	Bitcoin Return	Bitcoin Return	Bitcoin Return	Bitcoin Return
Log Volume	0.00138**	0.00138**	0.00132**	0.00150**
	(0.000554)	(0.000567)	(0.000566)	(0.000584)
Log VIX	−0.0109**	−0.0109**	−0.00966**	−0.00848*
	(0.00451)	(0.00468)	(0.00471)	(0.00476)
Log EPU	0.00145	0.00148	0.00136	0.00111
	(0.00219)	(0.00228)	(0.00229)	(0.00228)
Sentiment RTN	−0.00295	−0.00137	0.00105	0.000475
	(0.00358)	(0.00470)	(0.00490)	(0.00780)
MSCI IT Sensitivity on Sentiment	−0.000337	−0.000362	−0.0000765	−0.0000147
	(0.000526)	(0.000587)	(0.000703)	(0.000706)
Sentiment RTN * MSCI IT Sensitivity on Sentiment	0.00156	0.00230	0.00491*	0.00494*
	(0.00232)	(0.00243)	(0.00268)	(0.00265)
MSCI World Energy Sensitivity on Sentiment		0.0000145	−0.0000649	0.000113
		(0.000384)	(0.000415)	(0.000398)
Sentiment RTN * MSCI World Energy Sensitivity on Sentiment		−0.000986	−0.00221	−0.00222*
		(0.00126)	(0.00138)	(0.00128)
S&P Global Clean Energy Sensitivity on Sentiment			0.697	0.289
			(0.796)	(0.807)
Sentiment RTN * S&P Global Clean Energy Sensitivity on Sentiment			7.394**	7.656***
			(2.982)	(2.932)
MSCI World Bank Sensitivity on Sentiment				−5.165**
				(2.535)
Sentiment RTN * MSCI World Bank Sensitivity on Sentiment				−0.860
				(9.552)
Constant	0.0291*	0.0290*	0.0263*	0.0199
	(0.0160)	(0.0161)	(0.0158)	(0.0160)
Observations	1063	1063	1063	1063
Adj. R-Square	0.00841	0.00694	0.00975	0.0122

Standard errors in parentheses 

*p < 0.1, ** p < 0.05, *** p < 0.01

Table 7. Bitcoin return on Sentiment return regressions (Fama and French 2015).

	(1)	(2)	(3)	(4)
	Bitcoin Return	Bitcoin Return	Bitcoin Return	Bitcoin Return
Log Volume	0.00137**	0.00135**	0.00129**	0.00127**
	(0.000555)	(0.000569)	(0.000568)	(0.000567)
Log VIX	−0.0108**	−0.0110**	−0.00945**	−0.00922*
	(0.00451)	(0.00459)	(0.00468)	(0.00470)
Log EPU	0.00147	0.00159	0.00140	0.00157
	(0.00219)	(0.00227)	(0.00230)	(0.00232)
Sentiment RTN	−0.00268	−0.00143	0.00383	−0.00291
	(0.00353)	(0.00446)	(0.00522)	(0.00745)
MSCI IT Sensitivity on Sentiment	−0.000285	−0.000360	0.000000727	0.000238
	(0.000536)	(0.000612)	(0.000761)	(0.000862)
Sentiment RTN * MSCI IT Sensitivity on Sentiment	0.00151	0.00223	0.00557**	0.00650**
	(0.00234)	(0.00249)	(0.00278)	(0.00307)
MSCI World Energy Sensitivity on Sentiment		0.0000869	−0.0000619	−0.000106
		(0.000462)	(0.000530)	(0.000537)
Sentiment RTN * MSCI World Energy Sensitivity on Sentiment		−0.000984	−0.00289*	−0.00299*
		(0.00148)	(0.00170)	(0.00170)
S&P Global Clean Energy Sensitivity on Sentiment			0.775	1.009
			(0.827)	(0.897)
Sentiment RTN * S&P Global Clean Energy Sensitivity on Sentiment			8.337***	9.775***
			(3.127)	(3.569)
MSCI World Bank Sensitivity on Sentiment				−1.605
				(1.825)
Sentiment RTN * MSCI World Bank Sensitivity on Sentiment				−7.540
				(6.957)
Constant	0.0288*	0.0286*	0.0256	0.0227
	(0.0160)	(0.0161)	(0.0158)	(0.0163)
Observations	1063	1063	1063	1063
Adj. R-Square	0.00819	0.00667	0.0105	0.0100

Standard errors in parentheses 

*p < 0.1, ** p < 0.05, *** p < 0.01

Fama, E. F., and K. R. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1): 3–56.

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Carhart, M. M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82.

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Fama, E. F., and K. R. French. 2015. “A Five-Factor Asset Pricing Model.” Journal of Financial Economics 116 (1): 1–22.

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