Twitter-Based uncertainty and cryptocurrency returns

David Y. Aharon; Ender Demir; Chi Keung Marco Lau; Adam Zaremba

doi:10.1016/j.ribaf.2021.101546

Twitter-Based uncertainty and cryptocurrency returns

David Y. Aharon, Ender Demir, Chi Keung Marco Lau, Adam Zaremba

Teesside University International Business School

Research output: Contribution to journal › Article › peer-review

Abstract

We explore the relationship between two novel Twitter-based measures of economic and market uncertainty and the performance of four major cryptocurrencies. Using a battery of methods—quantile regressions, Granger-causality in distributions using copula functions, and directional predictability tests—we examine the behavior of Bitcoin, Ethereum, Bitcoin Cash, and Ripple. Our findings demonstrate a strong causal link between the uncertainty expressed in social media and cryptocurrency returns. The effect is particularly evident for Bitcoin and in the tails of return distributions. Our results cast new light on the importance of cryptocurrencies as an alternative asset class in the wake of global uncertainty.

Original language	English
Article number	101546
Journal	Research in International Business and Finance
Volume	59
DOIs	https://doi.org/10.1016/j.ribaf.2021.101546
Publication status	Published - 1 Jan 2022

Bibliographical note

Funding Information:
David Y. Aharon acknowledges the support of the Ono Academic College Research Institute, Israel [grant no. 2021/21.01].

Publisher Copyright:
© 2021 Elsevier B.V.

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10.1016/j.ribaf.2021.101546

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title = "Twitter-Based uncertainty and cryptocurrency returns",

abstract = "We explore the relationship between two novel Twitter-based measures of economic and market uncertainty and the performance of four major cryptocurrencies. Using a battery of methods—quantile regressions, Granger-causality in distributions using copula functions, and directional predictability tests—we examine the behavior of Bitcoin, Ethereum, Bitcoin Cash, and Ripple. Our findings demonstrate a strong causal link between the uncertainty expressed in social media and cryptocurrency returns. The effect is particularly evident for Bitcoin and in the tails of return distributions. Our results cast new light on the importance of cryptocurrencies as an alternative asset class in the wake of global uncertainty.",

author = "Aharon, {David Y.} and Ender Demir and Lau, {Chi Keung Marco} and Adam Zaremba",

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Twitter-Based uncertainty and cryptocurrency returns

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