I am trying to analyze the price of Bitcoin versus the number of Reddit posts about Bitcoin and the sentiment of those posts (daily).
The price is I(1) while the sentiment and the number of posts are I(0). Surprisingly, they seem cointegrated with the maximum number of cointegrating relationships possible (Johansen). I would like to use prices because simple OLS regressions such as price = const sent(-1) count(-1) are giving a very high R^2, probably due to the fact that the price and the number of comments are correlated at about 0.8. Running such a regression produces stationary residuals too!
For all of my university career they taught me to use log returns (which are of course I(0)), but i cannot seem to find any meaningful relationship with returns.
What are the problems with my work (if any)? And what I could use to make a more professional analysis? This is for my master thesis and we touched subjects like VAR and VECM, even if I don't really know how to look into the results properly.