Twitter-Based Uncertainty and Cryptocurrency Returns

26 Pages Posted: 22 Mar 2021

See all articles by ⸹ David Y. Aharon

⸹ David Y. Aharon

Ono Academic College

Ender Demir

Istanbul Medeniyet University

Chi Keung Marco Lau

Adam Zaremba

Montpellier Business School; Poznan University of Economics and Business

Date Written: November 22, 2020

Abstract

We explore the relationship between two novel Twitter-based measures of economic and market uncertainty and the performance of four major cryptocurrencies. Using a battery of methods - quantile regressions, Granger-causality in distributions using copula functions, and directional predictability tests - we examine the behavior of Bitcoin, Ethereum, Bitcoin Cash, and Ripple. Our findings demonstrate a strong causal link between the uncertainty expressed in social media and cryptocurrency returns. The effect is particularly evident for Bitcoin and in the tails of return distributions. Our results cast new light on the importance of cryptocurrencies as an alternative asset class in the wake of global uncertainty.

Keywords: Uncertainty, Twitter, Cryptocurrency, Bitcoin, Quantile-in-Quantile, Directional test, Granger-causality, Copula

JEL Classification: G11, G12

Suggested Citation

Aharon, ⸹ David Y. and Demir, Ender and Lau, Chi Keung Marco and Zaremba, Adam, Twitter-Based Uncertainty and Cryptocurrency Returns (November 22, 2020). Available at SSRN: https://ssrn.com/abstract=3735435 or http://dx.doi.org/10.2139/ssrn.3735435

⸹ David Y. Aharon (Contact Author)

Ono Academic College ( email )

Kyriat Ono
Israel

Ender Demir

Istanbul Medeniyet University ( email )

D-100 Karayolu
Merdivenkoy Mevkii No:6/1 Goztepe/Kadıkoy
Istanbul
Turkey

Adam Zaremba

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000
France

Poznan University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

No contact information is available for Chi Keung Marco Lau

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
42
Abstract Views
142
PlumX Metrics