Accessibility navigation


Does Twitter predict Bitcoin?

Shen, D., Urquhart, A. and Wang, P. (2019) Does Twitter predict Bitcoin? Economics Letters, 174. pp. 118-122. ISSN 0165-1765

[img] Text - Accepted Version
· Restricted to Repository staff only until 11 May 2020.
· Available under License Creative Commons Attribution Non-commercial No Derivatives.

711kB

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1016/j.econlet.2018.11.007

Abstract/Summary

This paper adds to the growing literature of Bitcoin by examining the link between investor attention and Bitcoin returns, trading volume and realized volatility. Unlike previous studies, we employ the number of tweets from Twitter as a measure of attention rather than Google trends as we argue this is a better measure of attention from more informed investors. We find that the number of tweets is a significant driver of next day trading volume and realized volatility which is supported by linear and nonlinear Granger causality tests.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:80420
Publisher:Elsevier

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation