Impacts of Stock Indices, Oil and Twitter Sentiment on Major Cryptocurrencies during the COVID-19 First Wave

Abstract

This paper sets under scrutiny whether the S&P500, oil, and Twitter-based uncertainty about financial markets affect the returns and volatility of three major cryptocurrencies.Estimations are conducted concerning Bitcoin, Bitcoin Cash, and Dogecoin during the first wave of the COVID-19 pandemic.Findings document that Twitter uncertainty exhibits a weaker impact on cryptocurrencies than the S&P500 and crude oil.S&P500 constitutes a positive and significant determinant while impacts of oil are weaker and mixed.The volatility of cryptocurrencies is found to display a non-linear character.Moreover, it is revealed that Dogecoin could be more useful to investors as a speculative tool than Bitcoin and Bitcoin Cash.These outcomes inform the interested reader that traditional investments are influential in a much larger degree towards modern financial assets than investor sentiment when economic conditions are stressed.