Top Highlights

• here are many different model order selection criteriafor determining the optimum lag length such as Schwartz-Bayesian Criterion (SBC), the Akaike Information Criterion (AIC), and Hannan-Quinn Criterion (HQC)
• We crawled theBitcointalk’sthreads, using the Scrapy package in Python, fromNovember22, 2009, the first post on the platform, until September25,2022. Crawled information includes each thread's title and all pertinent responses along withthe dateat which such postings appeared on the forum. To prevent any confusion in the sentiment section, we remov...
• Using Latent Dirichlet Allocation (LDA) topic modeling algorithm, we discover eight distinct topics: Mining,Regulation,Investment/trading,Public perception,Bitcoin’s nature,Wallet,Payment, andOther.
• Importantly, we find differences in relations betweendifferenttopics’ sentiment, disagreement (proxy for uncertainty) and hype (proxy for attention) on one hand and Bitcoin return and trading volume on the other hand.
• Specifically, among all topics, only the sentiment anddisagreement of Investment/tradingtopic havesignificant contemporaneous relation with Bitcoin return.

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