本研究探討了投資人情緒對比特幣市場的崩盤風險和流動性的影響，並構建了新的投資人情緒衡量指標。研究結果顯示，在高分位數上，投資人情緒對比特幣市場的崩盤風險呈現正向影響。這可能是因為積極情緒使得投資者對比特幣價格過度樂觀，導致投資行為不理性，推高價格到不合理水準。此過程中，流動性並非主要影響因素。
在低分位數上，投資人情緒對比特幣價格崩盤風險呈現負向影響。低落的情緒增加了投資者的擔憂、恐慌和悲觀情緒，導致比特幣價格下跌風險加劇。這時市場流動性扮演了中介角色，因為投資者可能更傾向於拋售比特幣以減少風險，進而導致流動性減少。
本研究結果對於理解比特幣市場的價格波動機制以及投資者行為有重要的學術和實踐意義，也為相關市場參與者提供了有益的啟示。

This research investigated the impact of investor sentiment on the collapse risk and liquidity of the Bitcoin market and constructs a new investor sentiment measurement index. The findings indicated that, at higher percentiles, investor sentiment had a positive impact on the Bitcoin market’s collapse risk. This might be due to positive sentiment causing investors to be more overly optimistic about the Bitcoin price, leading to irrational investment behavior and pushing up the price to unreasonable levels. In this process, liquidity was not the main influencing factor.
Conversely, at lower percentiles, investor sentiment had a negative impact on the Bitcoin market’s collapse risk. Low sentiment increased the investors’ concern, panic, and pessimism, leading to greater downside risk in the Bitcoin price. Additionally, market liquidity played an intermediary role as investors might be more inclined to sell Bitcoin to reduce risk, thereby decreasing the liquidity.
These findings held valuable academic and practical implications for understanding the price fluctuations of the Bitcoin market and investors’ behavior. Furthermore, it was also provided insightful information for relevant market participants.

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