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Jurnal Ekonomi Malaysia

57 (2) 2023 81 – 95

Impact of Twitter and Google Searches on Bitcoin Rate of Return

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

P94772@siswa.ukm.edu.my

Center for Sustainable and Inclusive Development Studies (SID)
Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

fatin@ukm.edu.my

Center for Sustainable and Inclusive Development Studies (SID)
Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

tamat@ukm.edu.my

Center for Artificial Intelligence Technology (CAIT)
Faculty of Information Science and Technology
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

ridzwanyaakub@ukm.edu.my

Abstract

This paper investigates the importance of user emotions in social media Twitter and Google searches on the Bitcoin rate of return. The analysis is based on daily data frequency from 17 August 2021 until 17 December 2021 and the study adopted the Vector autoregression (Var) method for analysis. Findings on the impulse response function revealed that disgust emotion and Google trend YouTube search influenced Bitcoin return. In addition, these results are also supported by the variance decomposition test which is a Google trend, YouTube search and disgust emotion variables that explain most of the forecast error variance decomposition for Bitcoin return. This study shed some light for policymakers concerning the implication of user emotions from Twitter on the Bitcoin rate of return. Finally, this study provides a highlight to investors the importance of Google searches in Bitcoin return and in building a profitable investment portfolio.

Keywords

Bitcoin; emotions analysis; Google searches; return; social media; Twitter

JEL Codes

E70, E71, G11, G14, G15, G41
http://dx.doi.org/10.17576/JEM-2023-5702-06
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Bibliography

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Somasuntharam, R. S., Said, F. F., Sarmidi, T., & Yaakub, M. R. (2023). Impact of Twitter and Google Searches on Bitcoin Rate of Return. Jurnal Ekonomi Malaysia, 57(2), 81–95. http://dx.doi.org/10.17576/JEM-2023-5702-06

@article{somasuntharam2023impact,
  title={Impact of Twitter and Google Searches on Bitcoin Rate of Return},
  author={Somasuntharam, Raja Solan and Said, Fathin Faizah and Sarmidi, Tamat and Yaakub, Mohd Ridzwan},
  journal={Jurnal Ekonomi Malaysia},
  volume={57},
  number={2},
  pages={81—95},
 

year={2023},
}

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