The differential influence of social media sentiment on cryptocurrency returns and volatility during COVID-19

【Author】 Kyriazis, Nikolaos; Papadamou, Stephanos; Tzeremes, Panayiotis; Corbet, Shaen

【Source】QUARTERLY REVIEW OF ECONOMICS AND FINANCE

【影响因子】4.324

【Abstract】This research investigates the effects of several measures of Twitter-based sentiment on cryptocurrencies during the COVID-19 pandemic. Innovative economic, as well as market uncertainty measures based on Tweets, along the lines of Baker et al. (2021), are employed in an attempt to measure how investor sen-timent influences the returns and volatility of major cryptocurrencies, developing on non-linear Granger causality tests. Evidence suggests that Twitter-derived sentiment mainly influences Litecoin, Ethereum, Cardano and Ethereum Classic when considering mean estimates. Moreover, uncertainty measures non-linearly influence each cryptocurrency examined, at all quantiles except for Cardano at lower quantiles, and both Ripple and Stellar at both lower and higher quantiles. Cryptocurrencies with lower values are found to be unaffected by investor sentiment at extreme values, however, prove to be profitable due to more aligned investor behaviour.& COPY; 2022 The Author(s). Published by Elsevier Inc. on behalf of Board of Trustees of the University of Illinois. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).

【Keywords】Sentiment; Uncertainty; Cryptocurrencies; COVID-19; Pandemics; Black Swans

【发表时间】2023 JUN

【收录时间】2023-07-11

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币