The impact of social media on the cryptocurrency markets during the COVID-19 pandemic and the Russia-Ukraine conflict

We investigate the impact of social media on the profitability of the cryptocurrency market during the COVID-19 pandemic and the Russia-Ukraine conflict. We employ a daily database spanning from April 22, 2018, to April 23, 2023, focusing on the prominent cryptocurrencies: Bitcoin, Ethereum, and Litecoin. Social Media is approximated using Google Trends, Twitter, and You-Tube. To assess the interconnectedness of the cryptocurrency market, we examine the symmetrical volatility of each cryptocurrency using the GARCH model. This allows us to identify assets that exhibit less vulnerability and can serve as safe-haven and hedging instruments. Additionally, we verify the bullish and bearish movements of this market using the EGARCH specification. Finally, we employ a causality test in the sense of Granger (1969) to determine the impact of Social Media on the dynamics of the cryptocurrency market. This test will elucidate whether Social Media data can effectively predict cryptocurrency price movements.