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Twitter-based attention and the cross-section of cryptocurrency returns

Author

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  • Maître, Arnaud T.
  • Pugachyov, Nikolay
  • Weigert, Florian

Abstract

This paper investigates how investors' abnormal attention affects the cross-section of cryptocurrency returns in the period from 2018 to 2022. We capture abnormal attention using the (log) number of Twitter posts on individual cryptocurrencies on the current day minus a 30-day average. Our results reveal that abnormal attention is positively associated with contemporaneous and one-day ahead crypto performance. Among the different Twitter tweets, return predictability arises due to Ticker-tweets from investors, but not due to tweets from the cryptocurrency channel. These Official-tweets, however, are able to forecast technological innovations on the blockchain.

Suggested Citation

  • Maître, Arnaud T. & Pugachyov, Nikolay & Weigert, Florian, 2025. "Twitter-based attention and the cross-section of cryptocurrency returns," CFR Working Papers 25-02, University of Cologne, Centre for Financial Research (CFR).
    • Handle: RePEc:zbw:cfrwps:311833
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    References listed on IDEAS

    as
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    2. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    3. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
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    Keywords

    Bitcoin; cryptocurrencies; Twitter attention; textual sentiment;
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