Impact of Public Information Arrivals on Cryptocurrency Market: A Case of Twitter Posts on Ripple

East Asian Economic Review Vol. 23, No. 2 (June 2019) 149-168, DOI: 10.11644/KIEP.EAER.2019.23.2.359

Korea Institute for International Economic Policy (KIEP) Research Paper Series

20 Pages Posted: 3 Jul 2019

See all articles by Samet Gunay

Samet Gunay

American University of the Middle East (AUM)

Date Written: June 30, 2019

Abstract

Public information arrivals and their immediate incorporation in asset price is a key component of semi-strong form of the Efficient Market Hypothesis. In this study, we explore the impact of public information arrivals on cryptocurrency market via Twitter posts. The empirical analysis was conducted through various methods including Kapetanios unit root test, Maki cointegration analysis and Markov regime switching regression analysis. Results indicate that while in bull market positive public information arrivals have a positive influence on Ripple’s value; in bear market, however, even if the company releases good news, it does not divert out the Ripple from downward trend.

Keywords: Cryptocurrency, Public Information Arrivals, Semi-Strong Efficiency, Ripple, Twitter Posts

JEL Classification: G14, G15, G40, G41

Suggested Citation

Gunay, Samet, Impact of Public Information Arrivals on Cryptocurrency Market: A Case of Twitter Posts on Ripple (June 30, 2019). East Asian Economic Review Vol. 23, No. 2 (June 2019) 149-168, DOI: 10.11644/KIEP.EAER.2019.23.2.359, Korea Institute for International Economic Policy (KIEP) Research Paper Series, Available at SSRN: https://ssrn.com/abstract=3413370

Samet Gunay (Contact Author)

American University of the Middle East (AUM) ( email )

250 St.
Block 3, Building 1
Egaila
Kuwait

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
89
Abstract Views
435
rank
326,063
PlumX Metrics