Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/316555 
Authors: 
Year of Publication: 
2019
Citation: 
[Journal:] East Asian Economic Review (EAER) [ISSN:] 2508-1667 [Volume:] 23 [Issue:] 2 [Year:] 2019 [Pages:] 149-168
Publisher: 
Korea Institute for International Economic Policy (KIEP), Sejong-si
Abstract: 
Public information arrivals and their immediate incorporation in asset price is a key component of semi-strong form of the Efficient Market Hypothesis. In this study, we explore the impact of public information arrivals on cryptocurrency market via Twitter posts. The empirical analysis was conducted through various methods including Kapetanios unit root test, Maki cointegration analysis and Markov regime switching regression analysis. Results indicate that while in bull market positive public information arrivals have a positive influence on Ripple's value; in bear market, however, even if the company releases good news, it does not divert out the Ripple from downward trend.
Subjects: 
Cryptocurrency
Public Information Arrivals
Semi-Strong Efficiency
Ripple
Twitter Posts
JEL: 
G14
G15
G40
G41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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