Beyond pure hype: news sentiment and its role in the BTC and ETH futures market

Abstract Unlike traditional assets, cryptocurrencies lack fundamental information such as dividends, earnings, or cash flows, requiring market participants to rely on alternative sources of information for price discovery and trading decisions. In this study, we analyze the relationship between news sentiment and Bitcoin (BTC) and Ether (ETH) futures returns, as well as net trading positions. We use a dataset of over 9100 BTC and 5400 ETH news articles. The findings reveal that news sentiment is significantly associated with futures price movements and market positioning by professional investors. We extend the traditional dictionary-based approach of Loughran and McDonald (2011) by enabling a more precise identification of crypto-relevant content. Our findings highlight the role of news sentiment as an information channel in cryptocurrency derivatives markets and uncover substantial differences between the BTC and ETH futures markets.