Does Bitcoin React to Trump's Tweets?

【Author】 Toan Luu Duc Huynh

【Source】JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE

【影响因子】8.222

【Abstract】This textual analysis with spillover effects examines whether the sentiment expressed in the US President Donald Trump's tweets correlates to price and volume activity in the Bitcoin market. After examining 13,918 tweets from January 2017 to January 2020, we find that negative sentiment is a predictive factor for Bitcoin returns, trading volumes, realized volatility, and jumps. In addition, only negative sentiment has a Granger-causal relation with volatility. We also find that Trump's Twitter sentiment can influence the Bitcoin market in the form of time-varying dependence. This paper also extended the COVID-19 period and found that Trump's sentiment can be a predictive tool to the Bitcoin market during the pandemic. Our results hold robust for alternative cryptocurrencies and offer insights about this market. (C) 2021 Elsevier B.V. All rights reserved.

【Keywords】Trump twitter; Negative; Positive; Textual analysis; Predictability

【发表时间】2021 SEP

【收录时间】2022-01-02

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