Effect of twitter investor engagement on cryptocurrencies during the COVID-19 pandemic

Ahmed Bouteska; Petr Hajek; Mohammad Zoynul Abedin; Yizhe Dong

doi:10.1016/j.ribaf.2022.101850

Effect of twitter investor engagement on cryptocurrencies during the COVID-19 pandemic

Res Int Bus Finance. 2023 Jan:64:101850. doi: 10.1016/j.ribaf.2022.101850. Epub 2022 Dec 20.

Authors

Ahmed Bouteska¹, Petr Hajek², Mohammad Zoynul Abedin³, Yizhe Dong⁴

Affiliations

¹ Faculty of Economics and Management of Tunis, University of Tunis El Manar, Tunisia.
² Science and Research Centre, Faculty of Economics and Administration, University of Pardubice, Studentska 84, 532 10 Pardubice, Czech Republic.
³ Department of Finance, Performance & Marketing, Teesside University International Business School, Teesside University, Middlesbrough, TS1 3BX Tees Valley, United Kingdom.
⁴ University of Edinburgh Business School, University of Edinburgh, Edinburgh, United Kingdom.

Abstract

This study aims to examine whether the prices and returns of two cryptocurrencies, Dogecoin and Ethereum, are affected by Twitter engagement following the COVID-19 pandemic. We use the autoregressive integrated moving average with explanatory variables model to integrate the effects of investor attention and engagement on Dogecoin and Ethereum returns using data from December 31, 2020, to May 12, 2021. The results provide evidence supporting the hypothesis of a strong effect of Twitter investor engagement on Dogecoin returns; however, no potential impact is identified for Ethereum. These findings add to the growing evidence regarding the effect of social media on the cryptocurrency market and have useful implications for investors and corporate investment managers concerning investment decisions and trading strategies.

Keywords: ARIMAX; COVID-19; Dogecoin; Ethereum; Investor engagement; Twitter.