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Do cryptocurrency markets react to issuer sentiments? Evidence from Twitter

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  • Zhang, Jiahang
  • Zhang, Chi

Abstract

Researchers and practitioners increasingly use posts on Twitter as an additional source of information to analyze cryptocurrency price movements. Previous studies that focus on the stock markets have shown that corporate sentiment disclosure impacts stock returns and trading volume. This study explores the reaction of the cryptocurrency market to the Twitter sentiments of issuers. It is found that cryptocurrency prices react positively to Twitter sentiments, while the trading volume reacts positively to the absolute value of the Twitter sentiments in a timely manner (within a period of 24 h). Further analysis in this study reveals that the market reactions are mainly driven by the incremental change in sentiments found in Twitter posts. This study sheds light on the trading behavior of investors in the cryptocurrency markets.

Suggested Citation

  • Zhang, Jiahang & Zhang, Chi, 2022. "Do cryptocurrency markets react to issuer sentiments? Evidence from Twitter," Research in International Business and Finance, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000447
    DOI: 10.1016/j.ribaf.2022.101656
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    More about this item

    Keywords

    Cryptocurrency market; Trading volume; Issuer sentiment;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • F30 - International Economics - - International Finance - - - General

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