Year: 2025
Type: article
Abstract: This study provides empirical evidence that cryptocurrency market movements are influenced by sentiment extracted from social media. Using a high frequency dataset covering four major cryptocurrencies (Bitcoin, Ether, Litecoin, and Ripple) from October 2017 to September 2021, we apply state-of-the-art natural language processing techniques on tweets from influential Twitter accounts. We classify sentiment into positive, negative, and neutral categories and analyze its effects on log returns, liquidity, and price jumps by examining market reactions around tweet occurrences. Our findings show that tweets significantly impact trading volume and liquidity: neutral sentiment tweets enhance liquidity consistently, negative sentiments prompt immediate volatility spikes, and positive sentiments exert a delayed yet lasting influence on the market. This highlights the critical role of social media sentiment in influencing intraday market dynamics and extends the research on sentiment-driven market efficiency.
Source: Data
DOI: 10.3390/data10040050
Authors: Radu Lupu, Paul Cristian Donoiu
Institution: Bucharest University of Economic Studies
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $1,930
OpenAlex ID: W4409089949