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.
| Original language | English |
|---|---|
| Title of host publication | AMCIS 2021 Proceedings |
| Number of pages | 11 |
| Publisher | Association for Information Systems. AIS Electronic Library (AISeL) |
| Publication date | 2020 |
| ISBN (Electronic) | 9781733632584 |
| Publication status | Published - 2020 |
| Externally published | Yes |
| Event | 27th Americas Conference on Information Systems. AMCIS 2021: Virtual Conference - Virtual Duration: 9 Aug 2021 → 13 Aug 2021 Conference number: 27 https://amcis2021.aisconferences.org/ |
Conference
| Conference | 27th Americas Conference on Information Systems. AMCIS 2021 |
|---|---|
| Number | 27 |
| Location | Virtual |
| Period | 09/08/2021 → 13/08/2021 |
| Internet address |
Keywords
- Information asymmetry
- Social sentiment
- Cryptocurrency
- Spillover effect
- Leverage effect
- Econometric analyses