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Investor attention and bitcoin liquidity: Evidence from bitcoin tweets

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  • Choi, Hyungeun

Abstract

This study employs the number of tweets as a proxy for investor attention. We use high-frequency data to investigate tweets’ real-time effects on Bitcoin liquidity. We find that a 1% increase in tweets leads to about 7% of liquidity improvement in the next five to 10 min. In a precise timeline, we show that the positive impact of tweets decays after approximately an hour. We further find that impacts on liquidity are stronger when tweets draw more attention. This study thus suggests that active investor attention can significantly improve Bitcoin liquidity in real time.

Suggested Citation

  • Choi, Hyungeun, 2021. "Investor attention and bitcoin liquidity: Evidence from bitcoin tweets," Finance Research Letters, Elsevier, vol. 39(C).
    • Handle: RePEc:eee:finlet:v:39:y:2021:i:c:s154461231930902x
    DOI: 10.1016/j.frl.2020.101555
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    References listed on IDEAS

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    Keywords

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    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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