Does Bitcoin React to Trump’s Tweets?

Toan Luu Duc Huynh

Journal of Behavioral and Experimental Finance, 2021, vol. 31, issue C

Abstract: This textual analysis with spillover effects examines whether the sentiment expressed in the US President Donald Trump’s tweets correlates to price and volume activity in the Bitcoin market. After examining 13,918 tweets from January 2017 to January 2020, we find that negative sentiment is a predictive factor for Bitcoin returns, trading volumes, realized volatility, and jumps. In addition, only negative sentiment has a Granger-causal relation with volatility. We also find that Trump’s Twitter sentiment can influence the Bitcoin market in the form of time-varying dependence. This paper also extended the COVID-19 period and found that Trump’s sentiment can be a predictive tool to the Bitcoin market during the pandemic. Our results hold robust for alternative cryptocurrencies and offer insights about this market.

Keywords: Trump twitter; Negative; Positive; Textual analysis; Predictability (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000903

DOI: 10.1016/j.jbef.2021.100546

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