IDEAS home Printed from https://ideas.repec.org/a/wsi/fracta/v31y2023i03ns0218348x23500275.html
   My bibliography  Save this article

The Nexus Between Twitter-Based Uncertainty And Cryptocurrencies: A Multifractal Analysis

Author

Listed:
  • FAHEEM ASLAM

    (Department of Management Sciences, COMSATS University Park Road, 45550 Islamabad, Pakistan)

  • ZIL-E-HUMA

    (Department of Management Sciences, COMSATS University Park Road, 45550 Islamabad, Pakistan)

  • RASHIDA BIBI

    (Department of Management Sciences, COMSATS University Park Road, 45550 Islamabad, Pakistan)

  • PAULO FERREIRA

    (VALORIZA - Research Center for Endogenous Resource, Valorization, Portalegre, Portugal3Instituto Politécnico de Portalegre, Portalegre, Portugal4CEFAGE-UE, IIFA, Universidade de Évora, Largo dos Colegiais 2, 7000 Évora, Portugal)

Abstract

We take the novel Twitter-based economic uncertainty (TEU) to examine if it has cross-correlation characteristics with four major cryptocurrencies i.e. Bitcoin, Ethereum, Litecoin, and Ripple. To conduct a more thorough analysis, we apply multifractal detrended cross-correlation analysis (MFDCCA) on seasonal-trend decomposition using Loess (STL) decomposed series as well as without decomposed series on the daily data, ranging from 1 June 2011 to 30 June 2021. The findings of this study indicate that: (i) all pairs of TEU with cryptocurrencies are multifractal and have power-law behavior; (ii) the pairs of Ethereum and Bitcoin with TEU are found to be the most multifractal while Litecoin with TEU has the lowest multifractal characteristics; (iii) all STL decomposed series of cryptocurrency have persistent cross-correlation with TEU with the exception of Ethereum which has anti-persistent cross-correlation with TEU; (iv) all without decomposed series of cryptocurrencies show significant persistent cross-correlation characteristics with TEU; (v) the highest linkage is found for the pair of Bitcoin with TEU. Moreover, to reveal the dynamic characteristics in the cross-correlation of TEU with cryptocurrencies, the rolling window is employed for MFDCCA. These findings have important managerial and academic implications for policymakers, investors, and market participants.

Suggested Citation

  • Faheem Aslam & Zil-E-Huma & Rashida Bibi & Paulo Ferreira, 2023. "The Nexus Between Twitter-Based Uncertainty And Cryptocurrencies: A Multifractal Analysis," FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd., vol. 31(03), pages 1-21.
    • Handle: RePEc:wsi:fracta:v:31:y:2023:i:03:n:s0218348x23500275
    DOI: 10.1142/S0218348X23500275
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0218348X23500275
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0218348X23500275?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:fracta:v:31:y:2023:i:03:n:s0218348x23500275. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: https://www.worldscientific.com/worldscinet/fractals .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.