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Journals / Ekonomi Politika ve Finans Araştırmaları Dergisi / 2021 / Cilt: 6 - Sayı: IERFM Özel Sayısı

Does The Twitter-Based Uncertainty Index Affect the Volatility of Cryptocurrencies?

Twitter Bazlı Belirsizlik Endeksi Kripto Paraların Volatilitesini Etkiler mi?

Sümeyra GAZEL
Pages
207–224
Publication Date
2021-12-30
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

According to the results of the study, while the ARCH effect cannot be determined for Bitcoin and Ethereum for the period examined, it is found that the use of volatility models is appropriate for Binance, Cardano, Ripple and Tether.

📌 3 Key Takeaways

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Objective & Hypothesis:This study examines the effect of the Twitter-Based Uncertainty Index which has created according to tweets containing the keywords "uncertainty" and "economy" since 2011 on the volatility of cryptocurrencies which is one of the most popular investment tools of recent years.
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Key Findings & Data:Binance, Bitcoin, Cardano, Ethereum, Ripple and Tether assets which are have high market value are examined with ARCH-GARCH family models with daily data for the period 18/01/2018-11/07/2021.
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Conclusion & Impact:According to the results of the study, while the ARCH effect cannot be determined for Bitcoin and Ethereum for the period examined, it is found that the use of volatility models is appropriate for Binance, Cardano, Ripple and Tether.
🔬Design:Modeling & Simulation
📍Scope:2011 Verileri
⚙️Variables:Kripto Para · Volatilite · ARCH GARCH

Abstract

This study examines the effect of the Twitter-Based Uncertainty Index which has created according to tweets containing the keywords "uncertainty" and "economy" since 2011 on the volatility of cryptocurrencies which is one of the most popular investment tools of recent years. Binance, Bitcoin, Cardano, Ethereum, Ripple and Tether assets which are have high market value are examined with ARCH-GARCH family models with daily data for the period 18/01/2018-11/07/2021. According to the results of the study, while the ARCH effect cannot be determined for Bitcoin and Ethereum for the period examined, it is found that the use of volatility models is appropriate for Binance, Cardano, Ripple and Tether. GARCH (1.1) for Binance, GARCH-M (1.1) for Cardano, ARCH (2) for Ripple is chosen as the most suitable model. It is determined that the Twitter-Based Uncertainty Index has a significant and positive effect in all of these models. According to these results, it is possible to say that uncertainty and economic tweets affect the volatility of crypto assets.

Özet

Bu çalışma 2011 yılından itibaren temel olarak “belirsizlik” ve “ekonomi” anahtar kelimelerini içeren tweetlerin baz alınarak oluşturulduğu Twitter Bazlı Belirsizlik Endeksinin, son yılların gözde yatırım araçlarından olan kripto paraların volatilitesine etkisini incelemeyi amaçlamaktadır. Piyasa değeri en yüksek, Binance, Bitcoin, Cardano, Ethereum, Ripple ve Tether kripto paralar 18/01/2018- 11/07/2021 dönemi için günlük verilerle ARCH-GARCH ailesi modelleri ile incelenmiştir. Çalışmada öncelikle ortalama denklemi oluşturulan modellerin ARCH-GARCH modellerine uygunluğu sınanmış ve incelenen dönemde Bitcoin ve Ethereum için ARCH etkisinin olmadığı ancak Binance, Cardano, Ripple ve Tether için volatilite modellerinin kullanımının uygun olduğu bulgusu elde edilmiştir. Binance için GARCH (1,1), Cardano için GARCH-M (1,1), Ripple için ARCH (2) modeli volatiliteyi en iyi yakalayan model olarak seçilmiştir. Twitter Bazlı Belirsizlik Endeksinin bu modellerin hepsinde istatistiki olarak anlamlı ve pozitif bir etkiye sahip olduğu tespit edilmiştir. Bu sonuçlara göre bir sosyal medya platformu olan Twitter’da yer alan belirsizlik ve ekonomi içerikli tweetlerin kripto varlıkların volatilitesini etkilediğini söylemek mümkündür.

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Cite This Article

GAZEL, S. (2021). Does The Twitter-Based Uncertainty Index Affect the Volatility of Cryptocurrencies?. Ekonomi Politika ve Finans Araştırmaları Dergisi, Cilt: 6 - Sayı: IERFM Özel Sayısı, 207–224. https://ajindex.com/articles/394314

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