The impact of social media on the cryptocurrency markets during the COVID-19 pandemic and the Russia-Ukraine conflict

【Author】 Mgadmi, Nidhal; Moussa, Wajdi; Mohammedi, Walid; Abidi, Ameni; Wahada, Majdouline

【Source】KNOWLEDGE AND INFORMATION SYSTEMS

【影响因子】2.531

【Abstract】We investigate the impact of social media on the profitability of the cryptocurrency market during the COVID-19 pandemic and the Russia-Ukraine conflict. We employ a daily database spanning from April 22, 2018, to April 23, 2023, focusing on the prominent cryptocurrencies: Bitcoin, Ethereum, and Litecoin. Social Media is approximated using Google Trends, Twitter, and You-Tube. To assess the interconnectedness of the cryptocurrency market, we examine the symmetrical volatility of each cryptocurrency using the GARCH model. This allows us to identify assets that exhibit less vulnerability and can serve as safe-haven and hedging instruments. Additionally, we verify the bullish and bearish movements of this market using the EGARCH specification. Finally, we employ a causality test in the sense of Granger (1969) to determine the impact of Social Media on the dynamics of the cryptocurrency market. This test will elucidate whether Social Media data can effectively predict cryptocurrency price movements.

【Keywords】Crypto-currencies; Causality; Russia-Ukraine War; Social media; E21; E31; G12

【发表时间】2024 2024 OCT 7

【收录时间】2024-10-13

【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