Does Twitter Happiness Sentiment predict cryptocurrency?

【Author】 Naeem, Muhammad Abubakr; Mbarki, Imen; Suleman, Muhammed Tahir; Vo, Xuan Vinh; Shahzad, Syed Jawad Hussain

【Source】INTERNATIONAL REVIEW OF FINANCE

【影响因子】2.175

【Abstract】We examine the predictive ability of Twitter Happiness Sentiment for six major cryptocurrencies using daily data from August 7, 2015 to December 31, 2019. At first instance, our results conclude a significant nonlinear relationship between Twitter Happiness Sentiment and cryptocurrencies. The nonlinear dependence structure is further enhanced when using the quantile-on-quantile (QQ) analysis, which indicates that high and low sentiment predicts returns of five cryptocurrencies. These findings are statistically and economically significant.

【Keywords】cryptocurrencies; linear and nonlinear Granger causality; quantile‐ on‐ quantile; Twitter Happiness Sentiment

【发表时间】2020 DEC

【收录时间】2022-01-02

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