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Does investor sentiment on social media provide robust information for Bitcoin returns predictability?

Dominique Guégan and Thomas Renault
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Dominique Guégan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, University of Ca’ Foscari [Venice, Italy]
Thomas Renault: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: We use a dataset of approximately one million messages sent on StockTwits to explore the relationship between investor sentiment on social media and intraday Bitcoin returns. We find a statistically significant relationship between investor sentiment and Bitcoin returns for frequencies of up to 15 minutes. For lower frequencies, the relation disappears. We also find that the impact of sentiment on returns is concentrated on the period around the Bitcoin bubble. However, the magnitude of the effect is rather small making it impossible for a trader to make economic profits by trading on the information published on social media.

Keywords: BitcoinInvestor sentiment; Cryptocurrency; Investor attention; Market efficiency; Social media; Stocktwits (search for similar items in EconPapers)
Date: 2021-01
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-03205154
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Published in Finance Research Letters, Elsevier, 2021, 38, pp.101494. ⟨10.1016/j.frl.2020.101494⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-03205154

DOI: 10.1016/j.frl.2020.101494

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