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Effect of twitter investor engagement on cryptocurrencies during the COVID-19 pandemic

Ahmed Bouteska, Petr Hajek, Abedin Abedin, Yizhe Dong

Research in International Business and Finance, Volume: 64, Start page: 101850

Swansea University Author: Abedin Abedin

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Abstract

This study aims to examine whether the prices and returns of two cryptocurrencies, Dogecoin and Ethereum, are affected by Twitter engagement following the COVID-19 pandemic. We use the autoregressive integrated moving average with explanatory variables model to integrate the effects of investor atte...

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Published in: Research in International Business and Finance
ISSN: 0275-5319 1878-3384
Published: Elsevier BV 2023
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa64245
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Abstract: This study aims to examine whether the prices and returns of two cryptocurrencies, Dogecoin and Ethereum, are affected by Twitter engagement following the COVID-19 pandemic. We use the autoregressive integrated moving average with explanatory variables model to integrate the effects of investor attention and engagement on Dogecoin and Ethereum returns using data from December 31, 2020, to May 12, 2021. The results provide evidence supporting the hypothesis of a strong effect of Twitter investor engagement on Dogecoin returns; however, no potential impact is identified for Ethereum. These findings add to the growing evidence regarding the effect of social media on the cryptocurrency market and have useful implications for investors and corporate investment managers concerning investment decisions and trading strategies.
Keywords: Twitter, Investor engagement, Dogecoin, Ethereum, ARIMAX, COVID-19
College: Faculty of Humanities and Social Sciences
Funders: This work has been supported by the scientific research project of the Czech Sciences Foundation Grant No. 22-22586S.
Start Page: 101850