Underreaction and overreaction in Bitcoin market

被引：2

作者：

Liu, Tianquan ^{[1
]}

Wang, Yiming ^{[1
]}

Yan, Yu ^{[1
]}

机构：

[1] Peking Univ, Sch Econ, Beijing 100871, Peoples R China

来源：

APPLIED ECONOMICS LETTERS | 2023年 / 30卷 / 12期

关键词：

Momentum effect; overreaction; underreaction; Bitcoin Market; Bitcoin Futures; RETURNS; CRYPTOCURRENCIES;

D O I：

10.1080/13504851.2022.2078775

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Bitcoin market had a significant momentum phenomenon before the launch of Futures, and then it turned into an insignificant reversal effect. After Covid-19 appeared, the momentum effect and reversal effect disappeared. The advent of bitcoin futures has increased how investors respond to information. With the outbreak of COVID-19, investor interest in Bitcoin as a safe-haven asset has increased the effectiveness of the price. We estimate the speed of signal diffusion in the bitcoin market, and the results support that effective response to information is the essential mechanism for the disappearance of momentum effect.

引用

页码：1685 / 1691

页数：7

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