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Does Bitcoin React to Trump’s Tweets?

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  • Huynh, Toan Luu Duc

Abstract

This textual analysis with spillover effects examines whether the sentiment expressed in the US President Donald Trump’s tweets correlates to price and volume activity in the Bitcoin market. After examining 13,918 tweets from January 2017 to January 2020, we find that negative sentiment is a predictive factor for Bitcoin returns, trading volumes, realized volatility, and jumps. In addition, only negative sentiment has a Granger-causal relation with volatility. We also find that Trump’s Twitter sentiment can influence the Bitcoin market in the form of time-varying dependence. This paper also extended the COVID-19 period and found that Trump’s sentiment can be a predictive tool to the Bitcoin market during the pandemic. Our results hold robust for alternative cryptocurrencies and offer insights about this market.

Suggested Citation

  • Huynh, Toan Luu Duc, 2021. "Does Bitcoin React to Trump’s Tweets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    • Handle: RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000903
    DOI: 10.1016/j.jbef.2021.100546
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    Cited by:

    1. N. L. Balasudarsun & Bikramaditya Ghosh & Sathish Mahendran, 2022. "Impact of Negative Tweets on Diverse Assets during Stressful Events: An Investigation through Time-Varying Connectedness," JRFM, MDPI, vol. 15(6), pages 1-12, June.

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    More about this item

    Keywords

    Trump twitter; Negative; Positive; Textual analysis; Predictability;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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