Social media-based attention and the cross-section of cryptocurrency returns

Arnaud T. Maître, Nikolay Pugachyov and Florian Weigert

Journal of Banking & Finance, 2025, vol. 178, issue C

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
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001384

DOI: 10.1016/j.jbankfin.2025.107518

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