Price explosiveness in cryptocurrencies and Elon Musk's tweets. Shahzad, S. J. H., Anas, M., & Bouri, E. Finance Research Letters, January, 2022.
Price explosiveness in cryptocurrencies and Elon Musk's tweets [link]Paper  doi  abstract   bibtex   
We detect episodes of price explosivity and collapse in Bitcoin and its contender Dogecoin using four-hourly data. The results show multiple bubble episodes in both cryptocurrencies, with a more frequent occurrence in Bitcoin. Collapse episodes are only observed in Bitcoin. We relate price explosivity to Elon Musk's tweets. His cryptocurrency-related general tweets have contributed to the price explosivity of Bitcoin, whereas his Dogecoin-specific tweets have contributed to price explosivity in Dogecoin. Our findings highlight the influential role of key persons through social media on the formation of bubbles, which matters to the decision-making of cryptotraders and market efficiency.
@article{shahzad_price_2022,
	title = {Price explosiveness in cryptocurrencies and {Elon} {Musk}'s tweets},
	issn = {1544-6123},
	url = {https://www.sciencedirect.com/science/article/pii/S1544612322000241},
	doi = {10.1016/j.frl.2022.102695},
	abstract = {We detect episodes of price explosivity and collapse in Bitcoin and its contender Dogecoin using four-hourly data. The results show multiple bubble episodes in both cryptocurrencies, with a more frequent occurrence in Bitcoin. Collapse episodes are only observed in Bitcoin. We relate price explosivity to Elon Musk's tweets. His cryptocurrency-related general tweets have contributed to the price explosivity of Bitcoin, whereas his Dogecoin-specific tweets have contributed to price explosivity in Dogecoin. Our findings highlight the influential role of key persons through social media on the formation of bubbles, which matters to the decision-making of cryptotraders and market efficiency.},
	language = {en},
	urldate = {2022-05-09},
	journal = {Finance Research Letters},
	author = {Shahzad, Syed Jawad Hussain and Anas, Muhammad and Bouri, Elie},
	month = jan,
	year = {2022},
	keywords = {BSADF test, Bitcoin, Bubbles, COVID-19, Dogecoin, Twitter},
	pages = {102695},
}

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