Twitter and cryptocurrency pump-and-dumps

David Ardia and Keven Bluteau

International Review of Financial Analysis, 2024, vol. 95, issue PB

Abstract: We study the relation between the promotion of a cryptocurrency on Twitter and its return dynamics around pump-and-dump events. By analyzing abnormal returns, trading volume, and tweet activity, we uncover that Twitter effectively garners attention for pump-and-dump schemes, leading to notable effects on abnormal returns before the event. Our results indicate that investors relying on Twitter information exhibit delayed selling behavior during the post-dump phase, resulting in significant losses compared to other participants. We also find that, while tweets directly promoting pump schemes align with anticipated market phases, a noteworthy portion of indirect, non-pump-aware tweets significantly influence market movements pre-event.

Keywords: Cryptocurrencies; Event-study; Pump-and-dump; Twitter (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004113

DOI: 10.1016/j.irfa.2024.103479

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