투자심리를 이용한 암호화폐 가격예측에 관한 연구
A Study on Cryptocurrency Price Prediction Using Investor Sentiment
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초록
본 연구에서는 2018년 1월부터 2024년 6월까지 암호화폐(Bitcoin과 Ethereum)와 공포탐욕 지수(CNNMoney Crypto Fear and Grid Index)를 이용해 암호화폐 시장의 투자심리가 Bitcoin 및 Ethereum 가격과 어떻게 상호작용하고, 최종적으로 공포탐욕 지수가 암호화폐의 가격을 예측하는데 중요한 정보가 될 수 있는지를 분석하였다. 본 연구에서 제시하는 표본기간동안의 실증분석 결과는 다음과 같다. 첫째, 암호화폐가 공포탐욕 지수를 Granger cause하지만 반대는 성립하지 않는 것으로 나타났기 때문에 투자자들은 공포탐욕 지수를 기반으로 거래 전략을 설계할 때 주의가 필요하다. 둘째, 모수의 단기적 안정성을 조사하기 위해 Residual-based Cointegration Model로 Sup-F, Mean-F 및 Exp-F 검정을 시행하고, VAR 구조의 장기적인 안정성을 분석한 결과에서 시간 가변적 특성을 발견하였다. 셋째, Time-varying Granger Causality 기법을 활용해 암호화폐 가격과 공포탐욕 지수 사이의 Granger 인과관계가 일정하지 않지만 투자심리가 암호화폐 가격 예측에 활용될 수 있는 가능성을 발견하였다. 다만 window 설정방식에 따라 인과관계의 시기가 달라질 수 있고, Bitcoin과 Ethereum에 대한 투자심리의 작용과정에도 차이가 존재하였다.
Abstract
This paper used cryptocurrency and CNN Money Crypto Fear and Grid Index from January 2018 to June 2024 to analyze how investor sentiment in the cryptocurrency market interacts with Bitcoin and Ethereum prices, and ultimately, investor sentiment can be important information for predicting the price of cryptocurrency. The results of empirical analysis during the sample period are as follows. First, investors need to be cautious when designing trading strategies based on the CNNMoney Crypto Fear and Grid Index, as investor sentiment has been shown not to Granger cause cryptocurrencies. Second, Sup-F, Ave-F, Exp-F tests were performed using the Residual-based Cointegration Model to investigate the short-term stability of the parameters, and time-varying characteristics were found in the long-term stability of the VAR structure. Third, In the analysis using Time-Varying Granger Causality, the Granger causal relationship between cryptocurrency prices and investor sentiment is not constant, but the possibility that investor sentiment can be used to predict cryptocurrency prices was found. However, the timing of the causal relationship may vary depending on the window setting method, and there were differences in the process of action of investor sentiment for Bitcoin and Ethereum.
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