Investor attention and bitcoin liquidity: Evidence from bitcoin tweets

•This study uses high-frequency data to investigate tweets’ real-time effects on Bitcoin liquidity.•The evidence shows that a 1% increase in the volume of tweets leads to a 7% of Bitcoin liquidity improvement within the next five to 10 min.•The positive effect of tweets on liquidity statistically decays after the 60 min time interval.•The real-time impacts are stronger when tweets draw more attention by being retweeted, liked, and replied. This study employs the number of tweets as a proxy for investor attention. We use high-frequency data to investigate tweets’ real-time effects on Bitcoin liquidity. We find that a 1% increase in tweets leads to about 7% of liquidity improvement in the next five to 10 min. In a precise timeline, we show that the positive impact of tweets decays after approximately an hour. We further find that impacts on liquidity are stronger when tweets draw more attention. This study thus suggests that active investor attention can significantly improve Bitcoin liquidity in real time.