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
相关论文
共 50 条
  • [21] Investor sentiment from internet message postings and the predictability of stock returns
    Kim, Soon-Ho
    Kim, Dongcheol
    [J]. JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 2014, 107 : 708 - 729
  • [22] Capturing Investor Sentiment Advancing Predictability in Finance with Computer Science Approaches
    Gao, Lin
    Kampas, Dimitrios
    Rinne, Kalle
    [J]. 20TH IEEE INTERNATIONAL CONFERENCE ON BUSINESS INFORMATICS (IEEE CBI 2018), VOL 2, 2018, : 97 - 99
  • [23] Investor sentiment and return predictability in chinese fuel oil futures markets
    Zhao, Qian
    Li, Jianping
    Wang, Shuping
    [J]. COMPUTATIONAL SCIENCE - ICCS 2007, PT 3, PROCEEDINGS, 2007, 4489 : 972 - +
  • [24] Characteristics and predictability of Twitter sentiment series
    Logunov, A.
    Panchenko, V.
    [J]. 19TH INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION (MODSIM2011), 2011, : 1617 - 1623
  • [25] Social Network Characteristics and the Evolution of Investor Sentiment
    Tay, Nicholas S. P.
    [J]. AGENT-BASED APPROACHES IN ECONOMIC AND SOCIAL COMPLEX SYSTEMS V, 2009, : 207 - 217
  • [26] Bitcoin and sentiment
    Jo, Hoje
    Park, Haehean
    Shefrin, Hersh
    [J]. JOURNAL OF FUTURES MARKETS, 2020, 40 (12) : 1861 - 1879
  • [27] A new European investor sentiment index (EURsent) and its return and volatility predictability
    Reis, Pedro Manuel Nogueira
    Pinho, Carlos
    [J]. JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE, 2020, 27
  • [28] The Moderating Effect of Market-Specific Factors on the Return Predictability of Investor Sentiment
    Vuong, Ngoc Bao
    Suzuki, Yoshihisa
    [J]. SAGE OPEN, 2022, 12 (03):
  • [29] Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China
    Chen, Rongda
    Bao, Weiwei
    Jin, Chenglu
    [J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2021, 75 : 112 - 129
  • [30] Predictability of bitcoin returns
    Cheah, Jeremy Eng-Tuck
    Luo, Di
    Zhang, Zhuang
    Sung, Ming-Chien
    [J]. EUROPEAN JOURNAL OF FINANCE, 2022, 28 (01): : 66 - 85
12345