Information Asymmetry on Cryptocurrency Trading: The Spillover Effect and Quality of Social Sentiment.

Kim Kwansoo, Nabyla Daidj

Publikation: Bidrag til bog/antologi/rapportKonferencebidrag i proceedingsForskningpeer review

Abstract

This study examines whether social sentiment can influence information asymmetry in cryptocurrency markets, and if so, in what way and its qualitative effect? Using a data set on social sentiment by crawling Twitter and trading information on an exchange in Korea. We empirically study the linkage between social sentiment and asymmetric information in two cryptocurrency trading settings. Our results highlight the differentiated impact of positive and negative sentiment variance on information asymmetry according to 1) the spillover effects and 2) the leverage effect of social news characterizing social sentiment. However, the quality of the social sentiment related information is less valuable. Our findings contribute to the growing IS literature on the social media linked to Fintech as well as to the study of verifiability in the cryptocurrency market.
OriginalsprogEngelsk
TitelAMCIS 2021 Proceedings
Antal sider11
ForlagAssociation for Information Systems. AIS Electronic Library (AISeL)
Publikationsdato2020
ISBN (Elektronisk)9781733632584
StatusUdgivet - 2020
Udgivet eksterntJa
Begivenhed27th Americas Conference on Information Systems. AMCIS 2021: Virtual Conference - Virtual
Varighed: 9 aug. 202113 aug. 2021
Konferencens nummer: 27
https://amcis2021.aisconferences.org/

Konference

Konference27th Americas Conference on Information Systems. AMCIS 2021
Nummer27
LokationVirtual
Periode09/08/202113/08/2021
Internetadresse

Emneord

  • Information asymmetry
  • Social sentiment
  • Cryptocurrency
  • Spillover effect
  • Leverage effect
  • Econometric analyses

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