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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. ISSN 1057-5219

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Identification Number: 10.1016/j.irfa.2020.101459

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 attention.

Item Type: Article
Official URL: https://www.sciencedirect.com/journal/internationa...
Additional Information: © 2020 Elsevier Inc.
Divisions: Systemic Risk Centre
Subjects: H Social Sciences > HG Finance
T Technology > T Technology (General)
H Social Sciences > HF Commerce
JEL classification: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
Date Deposited: 17 Jul 2020 11:36
Last Modified: 20 Aug 2021 00:05
URI: http://eprints.lse.ac.uk/id/eprint/105735

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