Does investor sentiment on social media provide robust information for Bitcoin returns predictability?
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- ISIDORE Id: 10670/1.8a15e4...
- hal: hal-03205154
- doi: 10.1016/j.frl.2020.101494
- PII: S1544-6123(19)31419-9
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.frl.2020.101494
http://creativecommons.org/licenses/by-nc/ , info:eu-repo/semantics/OpenAccess
Mots-clés
Cryptocurrency BitcoinInvestor sentiment Investor attention Market efficiency Social media Stocktwits G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading -fin]Sujets proches
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Dominique Guégan et al., « Does investor sentiment on social media provide robust information for Bitcoin returns predictability? », HAL SHS (Sciences de l’Homme et de la Société), ID : 10.1016/j.frl.2020.101494
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Résumé
We use a dataset of approximately one million messages sent on StockTwits to explore the relationship between investor sentiment on social media and intraday Bitcoin returns. We find a statistically significant relationship between investor sentiment and Bitcoin returns for frequencies of up to 15 minutes. For lower frequencies, the relation disappears. We also find that the impact of sentiment on returns is concentrated on the period around the Bitcoin bubble. However, the magnitude of the effect is rather small making it impossible for a trader to make economic profits by trading on the information published on social media.
