Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures

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dc.authorid0000-0002-1822-9263
dc.contributor.authorWu, Wanshan
dc.contributor.authorTiwari, Aviral Kumar
dc.contributor.authorGözgör, Giray
dc.contributor.authorHuang Leping
dc.date.accessioned2025-05-10T19:43:33Z
dc.date.issued2021
dc.departmentİMÜ, Fakülteler, Siyasal Bilgiler Fakültesi, Uluslararası İlişkiler Bölümü
dc.description.abstractUsing daily data from August 9, 2015, to July 7, 2020, this study examines the effects of economic policy uncertainty (EPU) on the returns of four cryptocurrencies: Bitcoin, Ethereum, Litecoin, and Ripple. To this end, two new measures of EPU (Twitter-based economic uncertainty and Twitter-based market uncertainty) are considered. A Granger causality test using the recursive evolving window approach shows a significant causality between the Twitter-based EPU measures and the BTC/USD exchange rate from October 2016 to July 2017. Moreover, a significant causality was noted from the EPU measures to the ETH/USD exchange rate from June 2019 to February 2020 and from the EPU measures to the XRP/USD exchange rate from January 2020 to February 2020. The Twitter-based EPU measures primarily positively affect the returns of the related cryptocurrencies during these periods. These results are robust to different measures of Twitter-based EPU and different econometric techniques. Potential implications, including the COVID-19 era, are also discussed.
dc.description.sponsorshipNational Social Science Fund of China [16BJY052]; Fundamental Research Funds for the Provincial Universities of Zhejiang [GB201902002, GB202002003]; Major Humanities and Social Sciences Research Projects in Zhejiang Province [2021QN050]; Humanities and Social Sciences Pre-Research Fund of the Zhejiang University of Technology; Guangdong Philosophy and Social Science Planning Project [GD19CJY22]
dc.description.sponsorshipWe acknowledge the National Social Science Fund of China (16BJY052); the Fundamental Research Funds for the Provincial Universities of Zhejiang (GB201902002 & GB202002003); the Major Humanities and Social Sciences Research Projects in Zhejiang Province (2021QN050); the Humanities and Social Sciences Pre-Research Fund of the Zhejiang University of Technology, and Guangdong Philosophy and Social Science Planning Project (GD19CJY22).
dc.identifier.doi10.1016/j.ribaf.2021.101478
dc.identifier.issn0275-5319
dc.identifier.issn1878-3384
dc.identifier.scopus2-s2.0-85107995523
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.ribaf.2021.101478
dc.identifier.urihttps://hdl.handle.net/20.500.14730/10652
dc.identifier.volume58
dc.identifier.wosWOS:000696997700002
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofResearch in International Business and Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_WOS_20250302
dc.subjectCryptocurrencies
dc.subjectEconomic policy uncertainty
dc.subjectTwitter-based uncertainty measures
dc.subjectGranger causality tests
dc.subjectRecursive evolving window approach
dc.subjectCOVID-19 crisis
dc.titleDoes economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures
dc.typeArticle

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