‘Crypto president’: Do narrative political signals drive cryptocurrency returns?

Sami Ben Jabeur (), Zouhaier Dhifaoui, Yassine Bakkar and Houssein Ballouk
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Sami Ben Jabeur: UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University)

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Abstract: This study provides evidence on the role of the quality of political signals in predicting six major cryptocurrency asset classes. Including communications from the U.S. presidential election in 2024, we find that political news affects cryptocurrency returns in the short-term (from 2 to 4 months). For most cryptoassets, text sentiment measures demonstrate superior predictive performance compared to historical cryptocurrency time series in out-of-sample forecasts.

Keywords: Cryptocurrency; Wavelet coherence; Out-of-sample prediction; Narrative political signals; Prédiction hors échantillon; Cohérence des ondelettes; Signaux politiques narratifs (search for similar items in EconPapers)
Date: 2025-05
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Published in Finance Research Letters, 2025, 78, pp.107194. ⟨10.1016/j.frl.2025.107194⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05451354

DOI: 10.1016/j.frl.2025.107194

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