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

Author

Listed:
  • 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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    3. Daniel Andrei & Michael Hasler, 2015. "Investor Attention and Stock Market Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 28(1), pages 33-72.
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    More about this item

    Keywords

    Bitcoin; cryptocurrencies; Twitter attention; textual sentiment;
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