This study aims to investigate the role of investor sentiment in the emerging metaverse market, a novel entrepreneurship model. Empirical analyses are conducted through various causality tests to reveal the predictive power of investor sentiment on the price developments of the metaverse market. The Nonlinear Granger causality test indicates causal effects running from BTC (Bitcoin), GT (Google Trend), and FGI (Fear-Greed Index) to MVI (Metaverse Index). Further examination of these interactions through MS-VAR analysis reveals that under bear market regimes, both investor sentiment proxies (GT and FGI) and BTC have a statistically significant causal effect on the returns of MVI. This finding suggests that metaverse crypto market returns are substantially influenced by investor sentiment during periods of anxiety and turmoil, evident in steep bear markets, rather than during periods of tranquility and euphoria characteristic of bull markets. The results of the time-varying approach confirm this finding by indicating spikes in causal effects towards the end of 2021, during which a severe crash in cryptocurrency markets occurred. Overall, the causal links during market downturns may stem from the fear of missing out (FOMO) in retail investors, who mainly dominate the sentimental factors utilized in this study.

中文翻译：

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解密 Metaverse 加密市场：投资者情绪的非线性分析


本研究旨在调查投资者情绪在新兴的元宇宙市场中的作用，这是一种新颖的创业模式。通过各种因果关系测试进行实证分析，以揭示投资者情绪对元宇宙市场价格走势的预测能力。非线性格兰杰因果关系检验表明因果效应从 BTC（比特币）、GT（谷歌趋势）和 FGI（恐惧-贪婪指数）到 MVI（元界指数）。通过 MS-VAR 分析对这些相互作用的进一步检查表明，在熊市制度下，投资者情绪代理（GT 和 FGI）和 BTC 对 MVI 的回报都有统计学上显着的因果效应。这一发现表明，在焦虑和动荡时期，元宇宙加密市场的回报在很大程度上受到投资者情绪的影响，这在陡峭的熊市中很明显，而不是在牛市特有的平静和欣快时期。时变方法的结果证实了这一发现，它表明 2021 年底的因果效应激增，在此期间加密货币市场发生了严重的崩盘。总体而言，市场低迷期间的因果关系可能源于散户投资者对错过的恐惧 （FOMO），他们主要主导本研究中使用的情绪因素。