More heat than light: Investor attention and bitcoin price discovery

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

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 is linked with an increase in uninformed trading activity in the market for bitcoin, while informed trading activity is driven by arbitrage rather than attention.
Original languageEnglish
Article number101459
Number of pages5
JournalInternational Review of Financial Analysis
Volume69
Early online date31 Jan 2020
DOIs
Publication statusE-pub ahead of print - 31 Jan 2020

Keywords / Materials (for Non-textual outputs)

  • investor attention
  • price discovery
  • noise trading

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