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THE NEXUS BETWEEN TWITTER-BASED UNCERTAINTY AND CRYPTOCURRENCIES: A MULTIFRACTAL ANALYSIS

2023-01Journal article Restricted access
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dc.contributor.authorAslam, Faheem
dc.contributor.authorHuma, Zil-e-
dc.contributor.authorBibi, Rashida
dc.contributor.authorFerreira, Paulo
dc.date.accessioned2024-04-24T14:14:24Z
dc.date.available2024-04-24T14:14:24Z
dc.date.issued2023-01
dc.date.updated2024-04-22T15:19:00Z
dc.description.abstractWe take the novel Twitter-based economic uncertainty (TEU) to examine if it has crosscorrelation characteristics with four major cryptocurrencies i.e. Bitcoin, Ethereum, Litecoin, and Ripple. To conduct a more thorough analysis, we apply multifractal detrended crosscorrelation analysis (MFDCCA) on seasonal-trend decomposition using Loess (STL) decomposed series as well as without decomposed series on the daily data, ranging from 1 June 2011 to 30 June 2021. The findings of this study indicate that: (i) all pairs of TEU with cryptocurrencies are multifractal and have power-law behavior; (ii) the pairs of Ethereum and Bitcoin with TEU are found to be the most multifractal while Litecoin with TEU has the lowest multifractal characteristics; (iii) all STL decomposed series of cryptocurrency have persistent cross-correlation with TEU with the exception of Ethereum which has anti-persistent crosscorrelation with TEU; (iv) all without decomposed series of cryptocurrencies show significant persistent cross-correlation characteristics with TEU; (v) the highest linkage is found for the pair of Bitcoin with TEU. Moreover, to reveal the dynamic characteristics in the cross-correlation of TEU with cryptocurrencies, the rolling window is employed for MFDCCA. These findings have important managerial and academic implications for policymakers, investors, and market participants.pt_PT
dc.description.versionN/Apt_PT
dc.identifier.doi10.1142/S0218348X23500275pt_PT
dc.identifier.slugcv-prod-3268132
dc.identifier.urihttp://hdl.handle.net/10400.26/50725
dc.language.isoN/Apt_PT
dc.subjectTwitter-Based Uncertaintypt_PT
dc.subjectCryptocurrenciespt_PT
dc.subjectMFDCCApt_PT
dc.subjectCross-Correlationpt_PT
dc.subjectMediapt_PT
dc.titleTHE NEXUS BETWEEN TWITTER-BASED UNCERTAINTY AND CRYPTOCURRENCIES: A MULTIFRACTAL ANALYSISpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.titleFractalspt_PT
person.familyNameAslam
person.familyNameHuma
person.familyNameBibi
person.familyNameFerreira
person.givenNameFaheem
person.givenNameZil-e-
person.givenNameRashida
person.givenNamePaulo
person.identifier730807
person.identifier.ciencia-idEC1A-E8EA-6F1C
person.identifier.ciencia-idB513-B46A-E5F3
person.identifier.orcid0000-0001-7308-096X
person.identifier.orcid0000-0002-0814-1954
person.identifier.orcid0000-0002-2435-4212
person.identifier.orcid0000-0003-1951-889X
person.identifier.ridP-9622-2016
person.identifier.scopus-author-id55841775200
person.identifier.scopus-author-id35745865300
rcaap.cv.cienciaidB513-B46A-E5F3 | Paulo Jorge Silveira Ferreira
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT
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relation.isAuthorOfPublication5f158894-b906-4f4d-a70b-bcdf671e938d
relation.isAuthorOfPublication3750bf7c-24b6-42cf-b909-73fbfa2ea9f5
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relation.isAuthorOfPublication.latestForDiscoverycef169d9-c594-4505-ab57-7c6f92868cb6

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