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Economic Disasters: A New Data Set

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  • Coric, Bruno

Abstract

This study employs the number of tweets as a proxy for investor attention. We use high-frequency data to investigate tweets’ real-time effects on Bitcoin liquidity. We find that a 1% increase in tweets leads to about 7% of liquidity improvement in the next five to 10 min. In a precise timeline, we show that the positive impact of tweets decays after approximately an hour. We further find that impacts on liquidity are stronger when tweets draw more attention. This study thus suggests that active investor attention can significantly improve Bitcoin liquidity in real time.

Suggested Citation

  • Coric, Bruno, 2021. "Economic Disasters: A New Data Set," Finance Research Letters, Elsevier, vol. 39(C).
    • Handle: RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320300325
    DOI: 10.1016/j.frl.2020.101612
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    Cited by:

    1. Balcilar, Mehmet & Gupta, Rangan & Nel, Jacobus, 2022. "Rare disaster risks and gold over 700 years: Evidence from nonparametric quantile regressions," Resources Policy, Elsevier, vol. 79(C).
    2. Bruno Coric & Rangan Gupta, 2022. "Economic Disasters and Inequality," Working Papers 202255, University of Pretoria, Department of Economics.

    More about this item

    Keywords

    economic disasters ; characteristics ; database;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts

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