Social media as a proxy for intellectual capital: Twitter posts in the cryptocurrency market

This paper investigates the interaction of public information arrivals and volatility in the cryptocurrency market from the perspective of intellectual capital, specifically, relational capital. The empirical analysis was conducted using Kapetanios' unit root test, various scaling (Hurst exponent) tests, a fractionally integrated generalised autoregressive conditionally heteroskedastic model, and Markov regime-switching regression for different …