Cryptocurriency Price Movement: Cointegration and Sentiment Analysi
This paper presents a study on the price movement of different cryptocurrencies. The paper analyzes two
different topics related to virtual currencies. The first is a statistical test of cointegration and correlation between price
movements of cryptocurrencies. We used ADF Test, Johansen Test and multivariate Box-Pierce test to check the
cointegrating relationship between the series. Pearson correlation was used to find the correlation between price movements
of cryptocurrencies. Evidence shows that cryptocurrencies do indeed cointegrated and are highly correlated to each other,
however, sky rocketing price of bitcoin in past few months has weakened the correlation for that time period.
The second topic is twitter sentiment analysis of bitcoin price. This study tries to analyze the effect of Twitter sentiment on
the price of bitcoin. We used the chi-square test for testing our null hypothesis: bitcoin price is independent of twitter
sentiment. Evidence shows that the bitcoin price is indeed independent of twitter sentiment. These two studies may be used
by the cryptocurrency investors to optimize their cryptocurrency portfolio return.