Economic Disasters: A New Data Set

Bruno Ćorić

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: economic disasters; characteristics; database (search for similar items in EconPapers)
JEL-codes: E01 E32 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612320300325
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320300325

DOI: 10.1016/j.frl.2020.101612

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().