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Investor attention and bitcoin liquidity: Evidence from bitcoin tweets

Hyungeun Choi

Finance Research Letters, 2021, vol. 39, issue C

Abstract: This study employs the number of tweets as a proxy for investor attention. We use high-frequency data to investigate tweets’ real-time effects on Bitcoin liquidity. We find that a 1% increase in tweets leads to about 7% of liquidity improvement in the next five to 10 min. In a precise timeline, we show that the positive impact of tweets decays after approximately an hour. We further find that impacts on liquidity are stronger when tweets draw more attention. This study thus suggests that active investor attention can significantly improve Bitcoin liquidity in real time.

Keywords: Bitcoin; Tweets; Market liquidity; Investor attention; Market efficiency (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s154461231930902x

DOI: 10.1016/j.frl.2020.101555

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