Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257773 
Year of Publication: 
2021
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 9 [Issue:] 2 [Article No.:] 28 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-7
Publisher: 
MDPI, Basel
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.
Subjects: 
Bitcoin
COVID-19
cryptocurrency
Twitter
uncertainty
JEL: 
G00
G19
G40
G41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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