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The Nexus Between Twitter-Based Uncertainty And Cryptocurrencies: A Multifractal Analysis

Author

Listed:
  • FAHEEM ASLAM

    (Department of Management Sciences, COMSATS University Park Road, 45550 Islamabad, Pakistan)

  • ZIL-E-HUMA

    (Department of Management Sciences, COMSATS University Park Road, 45550 Islamabad, Pakistan)

  • RASHIDA BIBI

    (Department of Management Sciences, COMSATS University Park Road, 45550 Islamabad, Pakistan)

  • PAULO FERREIRA

    (VALORIZA - Research Center for Endogenous Resource, Valorization, Portalegre, Portugal3Instituto Politécnico de Portalegre, Portalegre, Portugal4CEFAGE-UE, IIFA, Universidade de Évora, Largo dos Colegiais 2, 7000 Évora, Portugal)

Abstract

We take the novel Twitter-based economic uncertainty (TEU) to examine if it has cross-correlation characteristics with four major cryptocurrencies i.e. Bitcoin, Ethereum, Litecoin, and Ripple. To conduct a more thorough analysis, we apply multifractal detrended cross-correlation analysis (MFDCCA) on seasonal-trend decomposition using Loess (STL) decomposed series as well as without decomposed series on the daily data, ranging from 1 June 2011 to 30 June 2021. The findings of this study indicate that: (i) all pairs of TEU with cryptocurrencies are multifractal and have power-law behavior; (ii) the pairs of Ethereum and Bitcoin with TEU are found to be the most multifractal while Litecoin with TEU has the lowest multifractal characteristics; (iii) all STL decomposed series of cryptocurrency have persistent cross-correlation with TEU with the exception of Ethereum which has anti-persistent cross-correlation with TEU; (iv) all without decomposed series of cryptocurrencies show significant persistent cross-correlation characteristics with TEU; (v) the highest linkage is found for the pair of Bitcoin with TEU. Moreover, to reveal the dynamic characteristics in the cross-correlation of TEU with cryptocurrencies, the rolling window is employed for MFDCCA. These findings have important managerial and academic implications for policymakers, investors, and market participants.

Suggested Citation

  • Faheem Aslam & Zil-E-Huma & Rashida Bibi & Paulo Ferreira, 2023. "The Nexus Between Twitter-Based Uncertainty And Cryptocurrencies: A Multifractal Analysis," FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd., vol. 31(03), pages 1-21.
    • Handle: RePEc:wsi:fracta:v:31:y:2023:i:03:n:s0218348x23500275
    DOI: 10.1142/S0218348X23500275
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    Cited by:

    1. Aslam, Faheem & Hunjra, Ahmed Imran & Memon, Bilal Ahmed & Zhang, Mingda, 2024. "Interplay of multifractal dynamics between shadow policy rates and energy markets," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).

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