Effect of social media messages on cryptocurrency market efficiency: An event study approach

This paper contributes to empirical evidence of semi-strong market efficiency focused on cryptocurrency market, specifically examines the persistence of random walk in the Bitcoin and Dogecoin exchange rates. Using an event study approach and abnormal returns methodology authors verify the reaction of selected cryptocurrency exchange rates to the statements releases through social media platform during the time-period from 2020 to 2022. The results show that celebrity statements on social media can influence investor behaviour, which is especially reflected in the increased volatility of cryptocurrency rates.