#Bitcoin, #COVID-19 : Twitter-based uncertainty and Bitcoin before and during the pandemic

Joseph J. French

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.

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Year of publication:	2021
Authors:	French, Joseph J.
Subject:	Bitcoin \| COVID-19 \| cryptocurrency \| Twitter \| uncertainty \| Virtuelle Währung \| Virtual currency \| Coronavirus \| Risiko \| Risk \| Elektronisches Zahlungsmittel \| Electronic payment \| Epidemie \| Epidemic \| Bargeldloser Zahlungsverkehr \| Noncash payments \| Social Web \| Social web

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/ijfs9020028 [DOI] hdl:10419/257773 [Handle]
Classification:	G00 - Financial Economics. General ; G19 - General Financial Markets. Other ; g40 ; g41
Source:	ECONIS - Online Catalogue of the ZBW

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