Do Cryptocurrency Markets React to Issuer Sentiments? Evidence from Twitter

Researchers and practitioners increasingly use posts on Twitter as an additional source of information to analyze cryptocurrency price movements. Previous studies focusing on the stock markets have illustrated the impact of corporate sentiment disclosure on stock returns and trading volumes. This study explores the cryptocurrency market reaction to issuer Twitter sentiments. I find that cryptocurrency prices react positively to Twitter sentiments, while the trading volumes react positively to the absolute value of Twitter sentiments in a timely manner (within 24 hours). Further analysis in this study reveals that the market reactions are mainly driven by the incremental sentiments contained in Twitter posts. This study sheds light on the trading behavior of investors in the cryptocurrency markets.