More heat than light: Investor attention and bitcoin price discovery

被引：35
|
作者：
Ibikunle, Gbenga [1 ,2 ]
McGroarty, Frank [2 ,3 ]
Rzayev, Khaladdi [4 ]
机构：
[1] Univ Edinburgh, Edinburgh, Midlothian, Scotland
[2] Cooperat Res Ctr, European Capital Markets, Pescara, Italy
[3] Univ Southampton, Ctr Digital Finance, Southampton, Hants, England
[4] London Sch Econ & Polit Sci, Syst Risk Ctr, London, England
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2020年 / 69卷
关键词：
Investor attention; Price discovery; Noise trading; LIQUIDITY; INEFFICIENCY; BEHAVIOR; RETURNS; NOISE;
D O I：
10.1016/j.irfa.2020.101459
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：5
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