Twitter-Based uncertainty and cryptocurrency returns
David Y. Aharon,
Ender Demir,
Chi Keung Lau and
Adam Zaremba (adam.zaremba@ue.poznan.pl)
Research in International Business and Finance, 2022, vol. 59, issue C
Abstract:
We explore the relationship between two novel Twitter-based measures of economic and market uncertainty and the performance of four major cryptocurrencies. Using a battery of methods—quantile regressions, Granger-causality in distributions using copula functions, and directional predictability tests—we examine the behavior of Bitcoin, Ethereum, Bitcoin Cash, and Ripple. Our findings demonstrate a strong causal link between the uncertainty expressed in social media and cryptocurrency returns. The effect is particularly evident for Bitcoin and in the tails of return distributions. Our results cast new light on the importance of cryptocurrencies as an alternative asset class in the wake of global uncertainty.
Keywords: Uncertainty; Twitter; Cryptocurrency; Bitcoin; Quantile-in-quantile; Directional test; Granger-causality; Copula (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (24)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001677
DOI: 10.1016/j.ribaf.2021.101546
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