Impact of YouTubers on Cryptocurrency Returns

Abstract

Cryptocurrencies are extremely popular assets with retail investors, most of whom glean information on social media as to which coins they ought to invest in. In this paper, we investigate the impact of social media influencers on cryptocurrencies using an event study methodology and a cryptocurrency empirical asset pricing model for the counterfactual. Our findings highlight that social media events have a large, persistent, and statistically significant effect on cryptocurrency returns, with cumulative average abnormal returns of 8% 15 days after the publication of a YouTube video. As such, our results underline the need to account for social media presence in empirical asset pricing models for cryptocurrencies, along with the potential for market manipulation in less-traded coins.