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Price explosiveness in cryptocurrencies and Elon Musk's tweets

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  • Shahzad, Syed Jawad Hussain
  • Anas, Muhammad
  • Bouri, Elie

Abstract

We detect episodes of price explosivity and collapse in Bitcoin and its contender Dogecoin using four-hourly data. The results show multiple bubble episodes in both cryptocurrencies, with a more frequent occurrence in Bitcoin. Collapse episodes are only observed in Bitcoin. We relate price explosivity to Elon Musk's tweets. His cryptocurrency-related general tweets have contributed to the price explosivity of Bitcoin, whereas his Dogecoin-specific tweets have contributed to price explosivity in Dogecoin. Our findings highlight the influential role of key persons through social media on the formation of bubbles, which matters to the decision-making of cryptotraders and market efficiency.

Suggested Citation

  • Shahzad, Syed Jawad Hussain & Anas, Muhammad & Bouri, Elie, 2022. "Price explosiveness in cryptocurrencies and Elon Musk's tweets," Finance Research Letters, Elsevier, vol. 47(PB).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000241
    DOI: 10.1016/j.frl.2022.102695
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    Cited by:

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    4. N. L. Balasudarsun & Bikramaditya Ghosh & Sathish Mahendran, 2022. "Impact of Negative Tweets on Diverse Assets during Stressful Events: An Investigation through Time-Varying Connectedness," JRFM, MDPI, vol. 15(6), pages 1-12, June.
    5. Saggu, Aman, 2022. "The Intraday Bitcoin Response to Tether Minting and Burning Events: Asymmetry, Investor Sentiment, and “Whale Alerts” on Twitter," Finance Research Letters, Elsevier, vol. 49(C).
    6. Rudkin, Simon & Rudkin, Wanling & Dłotko, Paweł, 2023. "On the topology of cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
    7. Agrrawal, Pankaj & Agarwal, Rajat, 2023. "A Longer-Term evaluation of Information releases by Influential market Agents and the Semi-strong market Efficiency," EconStor Preprints 273555, ZBW - Leibniz Information Centre for Economics.
    8. Bouteska, Ahmed & Hajek, Petr & Abedin, Mohammad Zoynul & Dong, Yizhe, 2023. "Effect of twitter investor engagement on cryptocurrencies during the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 64(C).
    9. Aliu, Florin, 2024. "Do infectious diseases explain Bitcoin price Fluctuations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
    10. Ghosh, Bikramaditya & Bouri, Elie & Wee, Jung Bum & Zulfiqar, Noshaba, 2023. "Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs," Research in International Business and Finance, Elsevier, vol. 65(C).
    11. Ali, Fahad & Khurram, Muhammad Usman & Sensoy, Ahmet & Vo, Xuan Vinh, 2024. "Green cryptocurrencies and portfolio diversification in the era of greener paths," Renewable and Sustainable Energy Reviews, Elsevier, vol. 191(C).
    12. Mercik, Aleksander & Słoński, Tomasz & Karaś, Marta, 2024. "Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies," International Review of Financial Analysis, Elsevier, vol. 92(C).
    13. Assaf, Ata & Demir, Ender & Ersan, Oguz, 2024. "Detecting and date-stamping bubbles in fan tokens," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 98-113.
    14. Zhang, Lei & Bouri, Elie & Chen, Yan, 2023. "Co-jump dynamicity in the cryptocurrency market: A network modelling perspective," Finance Research Letters, Elsevier, vol. 58(PB).
    15. Chowdhury, Md Iftekhar Hasan & Hasan, Mudassar & Bouri, Elie & Tang, Yayan, 2024. "Emotional spillovers in the cryptocurrency market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
    16. Nicolas, Maxime L.D., 2022. "Estimating a model of herding behavior on social networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    17. Kanis Saengchote, 2022. "Cryptocurrency bubbles, the wealth effect, and non-fungible token prices: Evidence from metaverse LAND," Papers 2209.04385, arXiv.org.
    18. Amin Izadyar & Shiva Zamani, 2022. "Investor base and idiosyncratic volatility of cryptocurrencies," Papers 2211.13274, arXiv.org.
    19. Kumar Kulbhaskar, Anamika & Subramaniam, Sowmya, 2023. "Breaking news headlines: Impact on trading activity in the cryptocurrency market," Economic Modelling, Elsevier, vol. 126(C).
    20. Li, Chao & Yang, Haijun, 2022. "Will memecoins’ surge trigger a crypto crash? Evidence from the connectedness between leading cryptocurrencies and memecoins," Finance Research Letters, Elsevier, vol. 50(C).
    21. Ali, Fahad & Bouri, Elie & Naifar, Nader & Shahzad, Syed Jawad Hussain & AlAhmad, Mohammad, 2022. "An examination of whether gold-backed Islamic cryptocurrencies are safe havens for international Islamic equity markets," Research in International Business and Finance, Elsevier, vol. 63(C).
    22. Xu, Fang & Bouri, Elie & Cepni, Oguzhan, 2022. "Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps," Finance Research Letters, Elsevier, vol. 50(C).
    23. Bennett, Donyetta & Mekelburg, Erik & Strauss, Jack & Williams, T.H., 2024. "Unlocking the black box of sentiment and cryptocurrency: What, which, why, when and how?," Global Finance Journal, Elsevier, vol. 60(C).
    24. Chen, Yan & Zhang, Lei & Bouri, Elie, 2024. "Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? A comparative analysis with the S&P 500," Research in International Business and Finance, Elsevier, vol. 69(C).

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    More about this item

    Keywords

    Bubbles; BSADF test; Bitcoin; Dogecoin; Twitter; COVID-19;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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