Does investor sentiment on social media provide robust information for Bitcoin returns predictability?

Guégan, Dominique; Renault, Thomas

doi:10.1016/j.frl.2020.101494

Cited by 71 publications

(36 citation statements)

References 20 publications

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“…In another word, the Sentix index provides significant information in explaining long-term changes in Bitcoin prices, particularly when the investor sentiment is high. Mainly, our results corroborate the findings of Guègan and Renault (2020), revealing that the impact of investor sentiment is mostly localized around the Bitcoin bubble. Valencia et al ( 2019) also confirmed the predictive power of investor sentiment on the movement of CC.…”

Section: Interaction Between CC Prices and Sentix Cryptocurrencies Indexsupporting

confidence: 89%

“…Investigating the potential change in the behavior of investors over the pre-and post-Bitcoin bubble, Guègan and Renault (2020) showed a positive and statistically significant relationship between investor sentiment and Bitcoin during the Bitcoin bubble, unlike in the post-Bitcoin period ( to December 2019. This indicates that the CC market is more exposed to investor sentiment during high-sentiment investment horizons.…”

Section: Introduction and Literature Backgroundmentioning

confidence: 99%

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Time-Varying Nexus between Investor Sentiment and Cryptocurrency Market: New Insights from a Wavelet Coherence Framework

AlNemer¹,

Hkiri²,

Khan

2021

JRFM

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This study attempts to investigate the nexus between investor sentiment and cryptocurrencies prices. Our empirical investigation merges bivariate and multivariate wavelet tools to examine the investor sentiment nexus to inter-cryptocurrencies prices. The study outcomes show that the Sentix Investor Confidence index provides significant information in explaining long-term changes in Bitcoin and Litecoin prices. Moreover, the findings generated from the multiple wavelet coherence illustrate the simultaneous contribution of cryptocurrencies and the Sentix Investor Confidence index in explaining the Bitcoin index movement across frequencies and over horizons, especially during bubble burst periods. The study also suggests a time-dependent relationship of Bitcoin prices with alternative cryptocurrencies and the Sentix Investor Confidence index, mostly pronounced during the Bitcoin bubble. We discuss our results using GSV-based investor sentiment. Our findings remain robust and confirm the strong predictive power of investor sentiment in cryptocurrencies price movements over time and across scales.

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Section: Interaction Between CC Prices and Sentix Cryptocurrencies Indexsupporting

confidence: 89%

Section: Introduction and Literature Backgroundmentioning

confidence: 99%

Time-Varying Nexus between Investor Sentiment and Cryptocurrency Market: New Insights from a Wavelet Coherence Framework

AlNemer¹,

Hkiri²,

Khan

2021

JRFM

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“…Similar with other studies, high frequency data was also concerned. For example, Guégan et al [ 76 ] found statistically significant relationships between investor sentiment and Bitcoin returns. Recently, Ibikunle et al [ 70 ] investigated the relationships between investor attention and price discovery in cryptocurrency markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Investor attention and cryptocurrency: Evidence from the Bitcoin market

Zhu

Zhang

et al. 2021

PLoS ONE

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This paper adds to the growing literature of cryptocurrency and behavioral finance. Specifically, we investigate the relationships between the novel investor attention and financial characteristics of Bitcoin, i.e., return and realized volatility, which are the two most important characteristics of one certain asset. Our empirical results show supports in the behavior finance area and argue that investor attention is the granger cause to changes in Bitcoin market both in return and realized volatility. Moreover, we make in-depth investigations by exploring the linear and non-linear connections of investor attention on Bitcoin. The results indeed demonstrate that investor attention shows sophisticated impacts on return and realized volatility of Bitcoin. Furthermore, we conduct one basic and several long horizons out-of-sample forecasts to explore the predictive ability of investor attention. The results show that compared with the traditional historical average benchmark model in forecasting technologies, investor attention improves prediction accuracy in Bitcoin return. Finally, we build economic portfolios based on investor attention and argue that investor attention can further generate significant economic values. To sum up, investor attention is a non-negligible pricing factor for Bitcoin asset.

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“…They clearly show that social media significantly affect Bitcoin prices. Guégan and Renault (2020) explore the relationship between social media and the evolution of Bitcoin prices at various time-frequencies using StockTwits data. They show that sentiment of messages sent on Stock Twits about the Bitcoin during a period t-1 positively and significantly influences Bitcoin returns in period t. Such impact is more pronounced during the bubble period (08/2017-04/2018).…”

Section: What Do You Learn About Social Media Bitcoin and Covid-19 Pandemic?mentioning

confidence: 99%

A short-and long-term analysis of the nexus between Bitcoin, social media and Covid-19 outbreak

Béjaoui¹,

Mgadmi²,

Moussa³

et al. 2021

Heliyon

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In this paper, we attempt to analyze the dynamic interplay between Bitcoin, social media, and the Covid-19 health crisis. For this end, we apply the fractional autoregressive vector model, fractional error correction model and impulse response functions on daily data over the period 31/12/2019-30/10/2020. Our results clearly show the short- and long-term evidence of the nexus between the Bitcoin price, social media metrics (Tweets and Google Trends) and the intensity of the Covid-19 pandemic. As well, the Covid-19 pandemic does not impact on social media metrics in the short- and long-term. On the other hand, the Covid-19 pandemic positively affects social media metrics. Also, the Covid-19 pandemic encourages investing in digital currencies such as Bitcoin. So, the Covid-19 health crisis significantly influences social media networks and Bitcoin prices.

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Does investor sentiment on social media provide robust information for Bitcoin returns predictability?

Cited by 71 publications

References 20 publications

Time-Varying Nexus between Investor Sentiment and Cryptocurrency Market: New Insights from a Wavelet Coherence Framework

Time-Varying Nexus between Investor Sentiment and Cryptocurrency Market: New Insights from a Wavelet Coherence Framework

Investor attention and cryptocurrency: Evidence from the Bitcoin market

A short-and long-term analysis of the nexus between Bitcoin, social media and Covid-19 outbreak

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