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Does Twitter predict Bitcoin?

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Shen, D., Urquhart, A. orcid id iconORCID: https://orcid.org/0000-0001-8834-4243 and Wang, P. (2019) Does Twitter predict Bitcoin? Economics Letters, 174. pp. 118-122. ISSN 0165-1765 doi: 10.1016/j.econlet.2018.11.007

Abstract/Summary

This paper adds to the growing literature of Bitcoin by examining the link between investor attention and Bitcoin returns, trading volume and realized volatility. Unlike previous studies, we employ the number of tweets from Twitter as a measure of attention rather than Google trends as we argue this is a better measure of attention from more informed investors. We find that the number of tweets is a significant driver of next day trading volume and realized volatility which is supported by linear and nonlinear Granger causality tests.

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Item Type Article
URI https://reading-clone.eprints-hosting.org/id/eprint/80420
Identification Number/DOI 10.1016/j.econlet.2018.11.007
Refereed Yes
Divisions Henley Business School > Finance and Accounting
Publisher Elsevier
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