Does Twitter Happiness Sentiment predict cryptocurrency?

Muhammad Abubakr Naeem, Imen Mbarki, Muhammed Tahir Suleman, Xuan Vinh Vo and Syed Jawad Hussain Shahzad

International Review of Finance, 2021, vol. 21, issue 4, 1529-1538

Abstract: We examine the predictive ability of Twitter Happiness Sentiment for six major cryptocurrencies using daily data from August 7, 2015 to December 31, 2019. At first instance, our results conclude a significant nonlinear relationship between Twitter Happiness Sentiment and cryptocurrencies. The nonlinear dependence structure is further enhanced when using the quantile‐on‐quantile (QQ) analysis, which indicates that high and low sentiment predicts returns of five cryptocurrencies. These findings are statistically and economically significant.

Date: 2021
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https://doi.org/10.1111/irfi.12339

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