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Communication Dans Un Congrès Année : 2021

Information asymmetry on cryptocurrency trading: the spillover effect and quality of social sentiment

Résumé

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.
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Dates et versions

hal-03268629 , version 1 (23-06-2021)

Identifiants

  • HAL Id : hal-03268629 , version 1

Citer

Kwansoo Kim, Nabyla Daidj. Information asymmetry on cryptocurrency trading: the spillover effect and quality of social sentiment. AMCIS 2021 : 27th Americas Conference on Information Systems, Association for Information Systems (AIS), Aug 2021, Montreal (Virtual Conference), Canada. Paper number 1332. ⟨hal-03268629⟩
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