Kripto para piyasasının dinamikleri davranışsal finans perspektifinden

The years 2008-2009 witnessed a series of major events and developments in the financial realm. Starting from the global financial crisis and its disastrous consequences to the revolution of financial technology and the emergence of a cryptocurrency phenomenon. These accelerating events have drawn significant interest from scholars, financial analysts, and investors who seek to understand the cryptocurrency ecosystem and its implications on the modern financial landscape. Fourteen years have passed since the advent of the first cryptocurrency of its kind, Bitcoin, followed by thousands more, and yet, the intricate dynamics of the cryptocurrency market still reveal a limited understanding of its complexities. Despite the market's continued growth over the past few years, the high volatility and uncertainty of cryptocurrency values are a cause for concern among stakeholders that may lead to irrational investment choices and fear of missing out. From a behavioral finance perspective, investors are driven by social and psychological factors in their investment decisions. Emotions such as fear and greed may play an important role in investors' choices. By contrast, traditional approaches ignore sentiment and view the investor as a rational entity. However, this may cause a gap between market reactions and the outcomes predicted solely through fundamental analysis, particularly during market anomalies and financial crashes. By employing weekly data from March 2018 to July 2023, this study aims to explore the dynamics of the cryptocurrency market in three main aspects. Firstly, generating a novel sentiment index using six proxies: (1) Crypto Fear & Greed Index, (2) AAII Investors Sentiment Survey, (3) Google Trends, (4) Tweet Volume, (5) Crypto Trading Volume Trend and (6) CBOE Volatility Index (VIX). Secondly, distinguishing crypto investor sentiment into rational and irrational components through an Automatic Regression of Lag (ARDL) model, utilizing exchange rates of EUR/USD, S&P 500 returns, S&P Goldman Sachs Commodity Index, Cryptocurrency Volatility Index, Crude Oil WTI Futures prices, and S&P Cryptocurrency Broad Digital Market Index. Next, assessing the relationship between cryptocurrency investor sentiment and the returns and volatility of the Royalton CRIX Crypto Index using a Vector Auto Regressive (VAR) model. Finally, the Impact Response Analysis presents the findings, highlighting distinct dynamics in CRIX returns and volatility triggered by shocks in rational and irrational investor sentiment. Therefore, the research problem revolves around understanding how behavioral finance impacts cryptocurrency market dynamics. Keywords: Behavioral Finance, Investor Sentiment, Cryptocurrency, Autoregressive Distributed Lag Models (ARDL), Vector Auto Regressive Models (VAR), Financial Markets.