Investor sentiment and the holiday effect in the cryptocurrency market : evidence from China

This study employs a fxed-efects model to investigate the holiday efect in the cryptocurrency market, using trading data for the top 100 cryptocurrencies by market capitalization on Coinmarketcap.com from January 1, 2017 to July 1, 2022. The results indicate that returns on cryptocurrencies increase signifcantly during Chinese holiday periods. Additionally, we use textual analysis to construct an investor sentiment indicator and fnd that positive investor sentiment boosts cryptocurrency market returns. However, when positive investor sentiment prevails in the cryptocurrency market, the holiday efect weakens, implying that positive investor sentiment attenuates the holiday efect. Robustness tests based on the Bitcoin market generate consistent results. Moreover, this study explores the mechanisms underlying the cryptocurrency holiday efect and examines the impact of epidemic transmission risk and heterogeneity characteristics on this phenomenon. These fndings ofer novel insights into the impact of Chinese statutory holidays on the cryptocurrency market and illuminate the role of investor sentiment in this market.