Does Twitter Happiness Sentiment predict cryptocurrency?

被引：34

作者：

Naeem, Muhammad Abubakr ^{[1
,2
]}

Mbarki, Imen ^{[3
]}

Suleman, Muhammed Tahir ^{[4
]}

Vo, Xuan Vinh ^{[5
,6
]}

Shahzad, Syed Jawad Hussain ^{[2
,7
,8
]}

机构：

[1] Massey Univ, Sch Econ & Finance, Auckland, New Zealand

[2] Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, Vietnam

[3] Univ Tunis, Higher Inst Management Tunis, Tunis, Tunisia

[4] Univ Otago, Dept Accounting & Finance, Dunedin, New Zealand

[5] Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, Vietnam

[6] Univ Econ Ho Chi Minh City, CFVG, Ho Chi Minh City, Vietnam

[7] Montpellier Business Sch, Montpellier, France

[8] South Ural State Univ, Chelyabinsk, Russia

来源：

INTERNATIONAL REVIEW OF FINANCE | 2021年 / 21卷 / 04期

关键词：

cryptocurrencies; linear and nonlinear Granger causality; quantile‐ on‐ quantile; Twitter Happiness Sentiment; INVESTOR SENTIMENT; UNCERTAINTY INDEXES; STOCK RETURNS; OVERREACTION; INEFFICIENCY; VOLATILITY; MODELS; MARKET;

D O I：

10.1111/irfi.12339

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：1529 / 1538

页数：10

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