Do social media sentiments drive cryptocurrency intraday price volatility? New evidence from asymmetric TVP-VAR frequency connectedness measures-Reference-Cited by-同舟云学术

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Do social media sentiments drive cryptocurrency intraday price volatility? New evidence from asymmetric TVP-VAR frequency connectedness measures

Published:2024-03-11 Issue:13 Volume:30 Page:1470-1489
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Long Suwan (Cheng)¹²,Chatziantoniou Ioannis³,Gabauer David⁴,Lucey Brian¹⁵⁶⁷^ORCID

Affiliation:

1. Trinity College Dublin, Dublin, Ireland

2. Judge Business School, University of Cambridge, Cambridge, UK

3. Business School, Hellenic Mediterranean University, Heraklion, Greece

4. Software Competence Center Hagenberg, Hagenberg, Austria

5. Business School, Abu Dhabi University, Zayed City, United Arab Emirates

6. University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam

7. Institute for Industrial Economics, Jiangxi University of Economics and Finance, Jiangxi, People's Republic of China

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2024.2314085

Reference60 articles.

1. Distribution of the Kurtosis Statistic b2 for Normal Samples;Anscombe F. J.;Biometrika,1983

2. Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers

3. Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*

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