Does twitter predict Bitcoin?

摘要

This paper adds to the growing literature of Bitcoin by examining the link between investor attention and Bitcoin returns, trading volume and realized volatility. Unlike previous studies, we employ the number of tweets from Twitter as a measure of attention rather than Google trends as we argue this is a better measure of attention from more informed investors. We find that the number of tweets is a significant driver of next day trading volume and realized volatility which is supported by linear and nonlinear Granger causality tests.