#Bitcoin, #COVID-19: Twitter-Based Uncertainty and Bitcoin Before and during the Pandemic
Joseph J. French
Abstract
We investigated the differential impacts of a new Twitter-based Market Uncertainty index (TMU) and variables for Bitcoin before and during the COVID-19 pandemic. Results showed that TMU is a leading indicator of Bitcoin returns only during the pandemic, and the effect of the TMU on Bitcoin’s conditional volatility is significantly greater during the pandemic. Furthermore, during the pandemic, the uncertainty content of people’s tweets is impacted by the highly salient Bitcoin market. Taken together, our results suggest that the information contained in virtual communities such as Twitter have a much larger impact on cryptocurrency markets following COVID-19.
Topics & Concepts
PandemicCoronavirus disease 2019 (COVID-19)CryptocurrencyVolatility (finance)SalientIndex (typography)2019-20 coronavirus outbreakEconomicsSevere acute respiratory syndrome coronavirus 2 (SARS-CoV-2)BusinessFinancial economicsEconometricsMonetary economicsGeographyComputer scienceBiologyVirologyComputer securityMedicinePathologyWorld Wide WebOutbreakArchaeologyDiseaseInfectious disease (medical specialty)Blockchain Technology Applications and SecurityMarket Dynamics and VolatilityComplex Systems and Time Series Analysis