Attention-amplified sentiment and jump risk in Bitcoin and Ethereum markets: A text-augmented Hawkes framework
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, cilt.119, sa.105431, ss.1-30, 2026 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 119 Sayı: 105431
- Basım Tarihi: 2026
- Doi Numarası: 10.1016/j.irfa.2026.105431
- Dergi Adı: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
- Derginin Tarandığı İndeksler: Business Source Ultimate (EBSCO), Scopus, Social Sciences Citation Index (SSCI), ABI/INFORM, EconLit
- Sayfa Sayıları: ss.1-30
- Orta Doğu Teknik Üniversitesi Adresli: Evet
Özet
We document how investor sentiment and collective attention jointly shape jump risk in Bitcoin (BTC) and Ethereum (ETH) markets using minute-level data over 2022–2023 and a Hawkes model with FinBERT Twitter sentiment and Wikipedia attention in its baseline. A moderate positive sentiment shift (), holding attention fixed, is associated with an approximately 16% higher fitted upward-jump baseline intensity at neutral attention () for BTC, rising to 42% when collective attention is elevated (); for ETH, the corresponding figures are 19% and 49%. Specifications with textual baselines deliver double-digit percentage improvements in out-of-sample likelihood relative to otherwise identical Hawkes specifications without textual covariates. Calibration diagnostics based on the exact score decomposition associated with the consistent, optimally binned, and reproducible (CORP) approach, observed-to-expected ratios, and a dependence-robust Spiegelhalter-type test provide no evidence against calibration of the text-augmented forecasts, whereas the benchmark specifications display significant miscalibration. The findings document economically meaningful state dependence and provide a descriptive basis for high-frequency measurement of text-conditioned jump intensity in BTC and ETH markets.