Analysis demonstrates that social media sentiment has a minimal effect on cryptocurrency volatility, primarily driven by market dynamics.
This paper examines whether social media sentiment derived from Twitter and Reddit improves the explanation and prediction of cryptocurrency volatility. Using Bitcoin and Ethereum as benchmark assets, we combine sentiment indicators with GARCH-type models and the HAR-RV framework. Results suggest that cryptocurrency volatility is primarily driven by internal market dynamics rather than social media sentiment.
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Hatice Banu Yildirim (2026) studied this question.
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