Sentiment Matters for Cryptocurrencies: Evidence from Tweets

Radu Lupu () and Paul Cristian Donoiu
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Radu Lupu: Department of International Business and Economics, The Bucharest University of Economic Studies, 010374 București, Romania
Paul Cristian Donoiu: Department of International Business and Economics, The Bucharest University of Economic Studies, 010374 București, Romania

Data, 2025, vol. 10, issue 4, 1-13

Abstract: This study provides empirical evidence that cryptocurrency market movements are influenced by sentiment extracted from social media. Using a high frequency dataset covering four major cryptocurrencies (Bitcoin, Ether, Litecoin, and Ripple) from October 2017 to September 2021, we apply state-of-the-art natural language processing techniques on tweets from influential Twitter accounts. We classify sentiment into positive, negative, and neutral categories and analyze its effects on log returns, liquidity, and price jumps by examining market reactions around tweet occurrences. Our findings show that tweets significantly impact trading volume and liquidity: neutral sentiment tweets enhance liquidity consistently, negative sentiments prompt immediate volatility spikes, and positive sentiments exert a delayed yet lasting influence on the market. This highlights the critical role of social media sentiment in influencing intraday market dynamics and extends the research on sentiment-driven market efficiency.

Keywords: cryptocurrencies; sentiment; Twitter; liquidity (search for similar items in EconPapers)
JEL-codes: C8 C80 C81 C82 C83 (search for similar items in EconPapers)
Date: 2025
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