PXM2020_014213_000017.Ĭompeting interests: The authors have declared that no competing interests exist.Ĭurrently, cryptocurrency, i.e., Bitcoin, raises great concerns with the help of promotion in technology. QNJJ2020-36 and the capacity building for scientific and technological innovation services under No. China Scholarship Council (CSC 201906360020), the Beijing Technology and Business University under No. Our data about Bitcoin can be freely downloaded from CoinMarketCap ( ).įunding: This research was supported by the Outstanding Innovative Talents Cultivation Funded Programs 2018 of Renmin University of China, the P.R. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.ĭata Availability: Our data about investor attention can be freely downloaded from Google Trend ( ). Received: AugAccepted: JanuPublished: February 1, 2021Ĭopyright: © 2021 Zhu et al. Trinidad Segovia, University of Almeria, SPAIN To sum up, investor attention is a non-negligible pricing factor for Bitcoin asset.Ĭitation: Zhu P, Zhang X, Wu Y, Zheng H, Zhang Y (2021) Investor attention and cryptocurrency: Evidence from the Bitcoin market. Finally, we build economic portfolios based on investor attention and argue that investor attention can further generate significant economic values. The results show that compared with the traditional historical average benchmark model in forecasting technologies, investor attention improves prediction accuracy in Bitcoin return. Furthermore, we conduct one basic and several long horizons out-of-sample forecasts to explore the predictive ability of investor attention. The results indeed demonstrate that investor attention shows sophisticated impacts on return and realized volatility of Bitcoin. Moreover, we make in-depth investigations by exploring the linear and non-linear connections of investor attention on Bitcoin. Our empirical results show supports in the behavior finance area and argue that investor attention is the granger cause to changes in Bitcoin market both in return and realized volatility. Specifically, we investigate the relationships between the novel investor attention and financial characteristics of Bitcoin, i.e., return and realized volatility, which are the two most important characteristics of one certain asset. This paper adds to the growing literature of cryptocurrency and behavioral finance.
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