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Does investor sentiment on social media provide robust information for Bitcoin returns predictability?

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  • Guégan, Dominique
  • Renault, Thomas

Abstract

We use a dataset of approximately one million messages sent on StockTwits to explore the relationship between investor sentiment on social media and intraday Bitcoin returns. We find a statistically significant relationship between investor sentiment and Bitcoin returns for frequencies of up to 15 minutes. For lower frequencies, the relation disappears. We also find that the impact of sentiment on returns is concentrated on the period around the Bitcoin bubble. However, the magnitude of the effect is rather small making it impossible for a trader to make economic profits by trading on the information published on social media.

Suggested Citation

  • Guégan, Dominique & Renault, Thomas, 2021. "Does investor sentiment on social media provide robust information for Bitcoin returns predictability?," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319314199
    DOI: 10.1016/j.frl.2020.101494
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    More about this item

    Keywords

    Cryptocurrency; Bitcoin; Investor sentiment; Investor attention; Market efficiency; Social media; Stocktwits;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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