THE NEXUS BETWEEN TWITTER-BASED UNCERTAINTY AND CRYPTOCURRENCIES: A MULTIFRACTAL ANALYSIS

Faheem Aslam (), Zil-E-Huma (), Rashida Bibi () and Paulo Ferreira
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Faheem Aslam: Department of Management Sciences, COMSATS University Park Road, 45550 Islamabad, Pakistan
Zil-E-Huma: Department of Management Sciences, COMSATS University Park Road, 45550 Islamabad, Pakistan
Rashida Bibi: Department of Management Sciences, COMSATS University Park Road, 45550 Islamabad, Pakistan

FRACTALS (fractals), 2023, vol. 31, issue 03, 1-21

Abstract: We take the novel Twitter-based economic uncertainty (TEU) to examine if it has cross-correlation characteristics with four major cryptocurrencies i.e. Bitcoin, Ethereum, Litecoin, and Ripple. To conduct a more thorough analysis, we apply multifractal detrended cross-correlation analysis (MFDCCA) on seasonal-trend decomposition using Loess (STL) decomposed series as well as without decomposed series on the daily data, ranging from 1 June 2011 to 30 June 2021. The findings of this study indicate that: (i) all pairs of TEU with cryptocurrencies are multifractal and have power-law behavior; (ii) the pairs of Ethereum and Bitcoin with TEU are found to be the most multifractal while Litecoin with TEU has the lowest multifractal characteristics; (iii) all STL decomposed series of cryptocurrency have persistent cross-correlation with TEU with the exception of Ethereum which has anti-persistent cross-correlation with TEU; (iv) all without decomposed series of cryptocurrencies show significant persistent cross-correlation characteristics with TEU; (v) the highest linkage is found for the pair of Bitcoin with TEU. Moreover, to reveal the dynamic characteristics in the cross-correlation of TEU with cryptocurrencies, the rolling window is employed for MFDCCA. These findings have important managerial and academic implications for policymakers, investors, and market participants.

Keywords: Twitter-Based Uncertainty; Cryptocurrencies; MFDCCA; Cross-Correlation; Media (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1142/S0218348X23500275

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