Does Twitter Happiness Sentiment predict cryptocurrency?

Muhammad Abubakr Naeem, Imen Mbarki, Muhammed Tahir Suleman, Xuan Vinh Vo, Syed Jawad Hussain Shahzad

Research output: Contribution to journalArticlepeer-review

30 Citations (Scopus)

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 languageEnglish
Pages (from-to)1529-1538
Number of pages10
JournalInternational Review of Finance
Volume21
Issue number4
DOIs
Publication statusPublished - Dec 2021
Externally publishedYes

Keywords

  • cryptocurrencies
  • linear and nonlinear Granger causality
  • quantile-on-quantile
  • Twitter Happiness Sentiment

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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