Abstract
We examine the predictive ability of Twitter Happiness Sentiment for six major cryptocurrencies using daily data from August 7, 2015 to December 31, 2019. At first instance, our results conclude a significant nonlinear relationship between Twitter Happiness Sentiment and cryptocurrencies. The nonlinear dependence structure is further enhanced when using the quantile-on-quantile (QQ) analysis, which indicates that high and low sentiment predicts returns of five cryptocurrencies. These findings are statistically and economically significant.
| Original language | English |
|---|---|
| Pages (from-to) | 1529-1538 |
| Number of pages | 10 |
| Journal | International Review of Finance |
| Volume | 21 |
| Issue number | 4 |
| DOIs | |
| State | Published - Dec 2021 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2020 International Review of Finance Ltd. 2020
Keywords
- Twitter Happiness Sentiment
- cryptocurrencies
- linear and nonlinear Granger causality
- quantile-on-quantile
ASJC Scopus subject areas
- Finance
- Economics and Econometrics