We examine the predictive ability of Twitter Happiness Sentiment for six major cryptocurrencies using daily data from August 7, 2015 to December 31, 2019. At first instance, our results conclude a significant nonlinear relationship between Twitter Happiness Sentiment and cryptocurrencies. The nonlinear dependence structure is further enhanced when using the quantile-on-quantile (QQ) analysis, which indicates that high and low sentiment predicts returns of five cryptocurrencies. These findings are statistically and economically significant.

中文翻译：

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Twitter 幸福情绪能否预测加密货币？

我们使用 2015 年 8 月 7 日至 2019 年 12 月 31 日的每日数据检验了 Twitter 幸福情绪对六种主要加密货币的预测能力。首先，我们的结果得出结论，Twitter 幸福情绪与加密货币之间存在显着的非线性关系。使用分位数对分位数（QQ）分析时，非线性依赖结构进一步增强，这表明高情绪和低情绪预测五种加密货币的回报。这些发现具有统计学和经济意义。