Twitter-based attention and the cross-section of cryptocurrency returns

Arnaud T. Maître, Nikolay Pugachyov and Florian Weigert

No 25-02, CFR Working Papers from University of Cologne, Centre for Financial Research (CFR)

Abstract: This paper investigates how investors' abnormal attention affects the cross-section of cryptocurrency returns in the period from 2018 to 2022. We capture abnormal attention using the (log) number of Twitter posts on individual cryptocurrencies on the current day minus a 30-day average. Our results reveal that abnormal attention is positively associated with contemporaneous and one-day ahead crypto performance. Among the different Twitter tweets, return predictability arises due to Ticker-tweets from investors, but not due to tweets from the cryptocurrency channel. These Official-tweets, however, are able to forecast technological innovations on the blockchain.

Keywords: Bitcoin; cryptocurrencies; Twitter attention; textual sentiment (search for similar items in EconPapers)
Date: 2025
New Economics Papers: this item is included in nep-mon and nep-pay
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfrwps:311833

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