Exploring the relationship between digital trails of social signals and bitcoin returns

IF 2.3 Q2 BUSINESS, FINANCE

Studies in Economics and Finance Pub Date : 2023-06-09 DOI:10.1108/sef-12-2022-0572

Tezer Yelkenci, Birce Dobrucalı Yelkenci, G. Vardar, Berna Aydoğan

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引用次数: 0

Abstract

Purpose This study aims to empirically investigate the linkages between digital trails of social signals (content and profile features of bitcoin-related tweets) and bitcoin price return using a VAR-BEKK-GARCH model. Design/methodology/approach Bitcoin-related tweets were collected every hour for six months from September 1, 2020, to February 29, 2021. The analysis involved two steps: first, examining tweet content, profiles, sentiment and emotions; and second, investigating the relationship between social signal volatility and hourly bitcoin price return. Findings Results indicate that bitcoin price changes can impact the sentiment expressed in tweets about bitcoin, and vice versa. While sadness exhibits a bidirectional volatility spillover with bitcoin, fear and anger display a one-period lag. Quartile analyses reveal that only fear in the second quartile shows a bidirectional spillover effect with bitcoin, while all other emotions except sadness demonstrate a unidirectional spillover effect in all remaining quartiles. Originality/value The study uses a novel two-step approach to analyze volatility spillovers between social signals and bitcoin price returns. Findings can guide investors and portfolio managers in making better allocation decisions and assist policymakers and regulators in reducing the adverse effects of bitcoin’s volatility on financial system stability.

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探索社交信号的数字轨迹与比特币回报之间的关系

目的本研究旨在使用VAR-BEK-GARCH模型实证研究社交信号的数字轨迹（比特币相关推文的内容和个人资料特征）与比特币价格回报之间的联系。从2020年9月1日到2021年2月29日，六个月内，每小时收集一次与比特币相关的推文。分析包括两个步骤：首先，检查推特内容、个人资料、情绪和情绪；其次，研究了社会信号波动率与比特币每小时价格回报率之间的关系。FindingsResults表明，比特币价格的变化会影响推特上对比特币的情绪，反之亦然。虽然悲伤表现出比特币的双向波动溢出，但恐惧和愤怒表现出一个时期的滞后。四分位数分析显示，只有第二四分位数的恐惧与比特币表现出双向溢出效应，而除悲伤外的所有其他情绪在其余四分位数都表现出单向溢出效应。独创性/价值该研究使用了一种新颖的两步方法来分析社会信号和比特币价格回报之间的波动溢出。研究结果可以指导投资者和投资组合经理做出更好的配置决策，并帮助决策者和监管机构减少比特币波动对金融系统稳定的不利影响。

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来源期刊

Studies in Economics and Finance BUSINESS, FINANCE-

CiteScore

4.30

自引率

10.50%

发文量

期刊介绍： Topics addressed in the journal include: ■corporate finance, ■financial markets, ■money and banking, ■international finance and economics, ■investments, ■risk management, ■theory of the firm, ■competition policy, ■corporate governance.