More heat than light:Investor attention and bitcoin price discovery

Ibikunle, Gbenga; McGroarty, Frank; and Rzayev, Khaladdin (2020) More heat than light:Investor attention and bitcoin price discovery. International Review of Financial Analysis, 69: 101459. ISSN 1057-5219

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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
Keywords	Investor attention,Noise trading,Price discovery
Departments	Systemic Risk Centre
DOI	10.1016/j.irfa.2020.101459
Date Deposited	17 Jul 2020 11:36
URI	https://researchonline.lse.ac.uk/id/eprint/105735

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http://www.scopus.com/inward/record.url?scp=85079273280&partnerID=8YFLogxK (Scopus publication)
http://www.systemicrisk.ac.uk/people/khaladdin-rzayev (Author)
10.1016/j.irfa.2020.101459 (DOI)

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