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Sentiment Matters for Cryptocurrencies: Evidence from Tweets

Author

Listed:
  • Radu Lupu

    (Department of International Business and Economics, The Bucharest University of Economic Studies, 010374 București, Romania)

  • Paul Cristian Donoiu

    (Department of International Business and Economics, The Bucharest University of Economic Studies, 010374 București, Romania)

Abstract

This study provides empirical evidence that cryptocurrency market movements are influenced by sentiment extracted from social media. Using a high frequency dataset covering four major cryptocurrencies (Bitcoin, Ether, Litecoin, and Ripple) from October 2017 to September 2021, we apply state-of-the-art natural language processing techniques on tweets from influential Twitter accounts. We classify sentiment into positive, negative, and neutral categories and analyze its effects on log returns, liquidity, and price jumps by examining market reactions around tweet occurrences. Our findings show that tweets significantly impact trading volume and liquidity: neutral sentiment tweets enhance liquidity consistently, negative sentiments prompt immediate volatility spikes, and positive sentiments exert a delayed yet lasting influence on the market. This highlights the critical role of social media sentiment in influencing intraday market dynamics and extends the research on sentiment-driven market efficiency.

Suggested Citation

  • Radu Lupu & Paul Cristian Donoiu, 2025. "Sentiment Matters for Cryptocurrencies: Evidence from Tweets," Data, MDPI, vol. 10(4), pages 1-13, April.
    • Handle: RePEc:gam:jdataj:v:10:y:2025:i:4:p:50-:d:1626154
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    References listed on IDEAS

    as
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    4. Suzanne S. Lee & Per A. Mykland, 2008. "Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2535-2563, November.
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    Cited by:

    1. Yunus Emre Gür & Emre Ünal, 2026. "The Impact of News Sentiment on the Bitcoin Price via Machine Learning and Deep Learning‐Based NLP Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(3), pages 895-923, April.
    2. Qizhao Chen, 2025. "Sentiment-Aware Mean-Variance Portfolio Optimization for Cryptocurrencies," Papers 2508.16378, arXiv.org, revised Mar 2026.
    3. Qizhao Chen, 2026. "Sentiment-aware mean-variance portfolio optimization for cryptocurrencies," Digital Finance, Springer, vol. 8(2), pages 1-19, June.

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