#Bitcoin, #COVID-19: Twitter-Based Uncertainty and Bitcoin Before and during the Pandemic

被引：17
作者：
French, Joseph J. [1 ]
机构：
[1] Univ Northern Colorado, Monfort Coll Business, Dept Finance, Greeley, CO 80639 USA
来源：
INTERNATIONAL JOURNAL OF FINANCIAL STUDIES | 2021年 / 9卷 / 02期
关键词：
uncertainty; Twitter; cryptocurrency; Bitcoin; COVID-19;
D O I：
10.3390/ijfs9020028
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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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页数：7
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