Does investor sentiment on social media provide robust information for Bitcoin returns predictability?

Dominique Guégan and Thomas Renault

Finance Research Letters, 2021, vol. 38, issue C

Abstract: We use a dataset of approximately one million messages sent on StockTwits to explore the relationship between investor sentiment on social media and intraday Bitcoin returns. We find a statistically significant relationship between investor sentiment and Bitcoin returns for frequencies of up to 15 minutes. For lower frequencies, the relation disappears. We also find that the impact of sentiment on returns is concentrated on the period around the Bitcoin bubble. However, the magnitude of the effect is rather small making it impossible for a trader to make economic profits by trading on the information published on social media.

Keywords: Cryptocurrency; Bitcoin; Investor sentiment; Investor attention; Market efficiency; Social media; Stocktwits (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (31)

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Working Paper: Does investor sentiment on social media provide robust information for Bitcoin returns predictability? (2021)
Working Paper: Does investor sentiment on social media provide robust information for Bitcoin returns predictability? (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319314199

DOI: 10.1016/j.frl.2020.101494

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