Bitcoin and investor sentiment: Statistical characteristics and predictability

被引：68
|
作者：
Eom, Cheoljun [1 ]
Kaizoji, Taisei [2 ]
Kang, Sang Hoon [1 ]
Pichl, Lukas [3 ]
机构：
[1] Pusan Natl Univ, Sch Business, Busan 46241, South Korea
[2] Int Christian Univ, Grad Sch Arts & Sci, Tokyo 1818585, Japan
[3] Int Christian Univ, Coll Liberal Arts, Tokyo 1818585, Japan
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2019年 / 514卷
基金：
日本学术振兴会;
关键词：
Virtual currency; Bitcoin; Investor sentiment; Statistical properties; Predictability; RETURNS;
D O I：
10.1016/j.physa.2018.09.063
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
This study empirically investigates the statistical characteristics and predictability of Bitcoin return and volatility. The distribution of Bitcoin returns and volatility display a fat right tail and high central parts. Bitcoin does not show the dynamic property of volatility persistence, contrary to stylized facts in financial time series. Also, the autoregressive model using past volatility does not well work in predicting changes in Bitcoin volatility for future periods. Investor sentiment regarding Bitcoin has a significant information value for explaining changes in Bitcoin volatility for future periods. These results suggest that Bitcoin appears to be an investment asset with high volatility and dependence on investor sentiment rather than a monetary asset. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：511 / 521
页数：11
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