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 language | English |
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Article number | 101459 |
Number of pages | 5 |
Journal | International Review of Financial Analysis |
Volume | 69 |
Early online date | 31 Jan 2020 |
DOIs | |
Publication status | E-pub ahead of print - 31 Jan 2020 |
Keywords / Materials (for Non-textual outputs)
- investor attention
- price discovery
- noise trading