More heat than light: Investor attention and bitcoin price discovery
Ibikunle, G., McGroarty, F. & Rzayev, K.
(2020).
More heat than light: Investor attention and bitcoin price discovery.
International Review of Financial Analysis,
69,
https://doi.org/10.1016/j.irfa.2020.101459
We investigate how increased attention affects bitcoin's price discovery process. We first decompose bitcoin price into efficient and noise components and then show that the noise element of bitcoin pricing is driven by high levels of attention. This implies that high levels of attention are linked with an increase in uninformed trading activity in the market for bitcoin, while informed trading activity is driven by arbitrage rather than attention.
| Item Type | Article |
|---|---|
| Copyright holders | © 2020 Elsevier Inc. |
| Departments | LSE > Research Centres > Financial Markets Group > Systemic Risk Centre |
| DOI | 10.1016/j.irfa.2020.101459 |
| Date Deposited | 17 Jul 2020 |
| Acceptance Date | 30 Jan 2020 |
| URI | https://researchonline.lse.ac.uk/id/eprint/105735 |
Explore Further
- G12 - Asset Pricing; Trading volume; Bond Interest Rates
- G14 - Information and Market Efficiency; Event Studies
- G15 - International Financial Markets
- https://www.scopus.com/pages/publications/85079273280 (Scopus publication)
- http://www.systemicrisk.ac.uk/people/khaladdin-rzayev (Author)
- https://www.sciencedirect.com/journal/internationa... (Official URL)