Price explosiveness in cryptocurrencies and Elon Musk's tweets

Syed Jawad Hussain Shahzad, Muhammad Anas and Elie Bouri

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: We detect episodes of price explosivity and collapse in Bitcoin and its contender Dogecoin using four-hourly data. The results show multiple bubble episodes in both cryptocurrencies, with a more frequent occurrence in Bitcoin. Collapse episodes are only observed in Bitcoin. We relate price explosivity to Elon Musk's tweets. His cryptocurrency-related general tweets have contributed to the price explosivity of Bitcoin, whereas his Dogecoin-specific tweets have contributed to price explosivity in Dogecoin. Our findings highlight the influential role of key persons through social media on the formation of bubbles, which matters to the decision-making of cryptotraders and market efficiency.

Keywords: Bubbles; BSADF test; Bitcoin; Dogecoin; Twitter; COVID-19 (search for similar items in EconPapers)
JEL-codes: C12 C22 E42 G12 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000241

DOI: 10.1016/j.frl.2022.102695

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