Title: Investor attention, Twitter uncertainty and cryptocurrency market amid the COVID-19 pandemic

Author (s):: Bashir H.A.; Kumar D.

Journal: Managerial Finance

Month and Year: September 2022

Abstract: Purpose: This paper aims to examine the impact of investor attention due to the COVID-19 pandemic, Twitter-based sentiment towards uncertainty and public sentiment on the performance of cryptocurrencies. Design/methodology/approach: The authors employ the simple linear regression, quantile regression (QR), the exponential generalised autoregressive conditional heteroskedasticity (EGARCH) model, and sentiment analysis to examine this phenomenon. The authors utilise the daily closing price of the 20 leading cryptocurrencies, the Google search volume index of the “Coronavirus” keyword, the Twitter-based economic uncertainty index, and textual data collected from the Reddit social media platform. Findings: The results show that investor attention and Twitter uncertainty have a negative (positive) effect on cryptocurrency returns (volatility). The QR results indicate a heterogeneous effect of investor attention and Twitter economic uncertainty on cryptocurrency returns with a higher effect in the lower quantiles. The findings indicate that cryptocurrencies fail to act as a safe haven during this pandemic. Originality/value: The study is amongst the very few studies that capture the impact of investor attention/sentiment due to COVID-19 on the performance of cryptocurrencies. © 2022, Emerald Publishing Limited.

Document Type: Article

DOI: https://doi.org/10.1108/MF-09-2021-0414