The Impact of Market Sentiment and the Bitcoin Halving Event on Cryptocurrency Returns (Wilcoxon Test) and Volatility (KruskalWallis Test)
Pengaruh Sentimen Pasar dan Event Bicoin Halving terhadap Return (Uji Wilcoxon) dan Volatilitas (Uji Kruskal-Wallis) Aset Kripto
DOI:
https://doi.org/10.21070/ups.8767Keywords:
Market Sentiment, Crypto Assets, Return and Volatility, Bitcoin Halving, Nonparametic Event Study, Wilcoxon Signed-Rank Test, Kruskal-Wallis TestAbstract
This study aims to analyze the impact of market sentiment and the Bitcoin Halving event on the return and volatility
of crypto assets using a nonparametric approach. Using the Bitcoin Halving event on April 19, 2024 as a reference
point, this research develops a sentiment-based predictive model utilizing social media sentiment to project cumulative
abnormal return (CAR) and Bitcoin market return. The validity of the predictions is tested using the Wilcoxon SignedRank Test and the Kruskal-Wallis Test, which are appropriate for the volatile and non-normally distributed nature of
crypto asset data. The results show that most assets experienced significant differences in return and volatility between
the pre-event and post-event periods. Statistically, the influence of sentiment on cumulative return and volatility is
proven to be significant in the context of the halving event.
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