More heat than light: Investor attention and bitcoin price discovery
Volume: 69, Pages: 101459 - 101459
Published: May 1, 2020
Abstract
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...
Paper Details
Title
More heat than light: Investor attention and bitcoin price discovery
Published Date
May 1, 2020
Volume
69
Pages
101459 - 101459
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