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More heat than light: investor attention and bitcoin price discovery

More heat than light: investor attention and bitcoin price discovery
More heat than light: investor attention and bitcoin price discovery
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.
Investor attention, Noise trading, Price discovery
1057-5219
Ibikunle, Gbenga
64508586-a87a-41ff-a9e8-4282931b8b45
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
Rzayev, Khaladdin
a787f185-dbd8-41fe-b68c-caf7ab1b6244
Ibikunle, Gbenga
64508586-a87a-41ff-a9e8-4282931b8b45
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
Rzayev, Khaladdin
a787f185-dbd8-41fe-b68c-caf7ab1b6244

Ibikunle, Gbenga, McGroarty, Frank and Rzayev, Khaladdin (2020) More heat than light: investor attention and bitcoin price discovery. International Review of Financial Analysis, 69, [101459]. (doi:10.1016/j.irfa.2020.101459).

Record type: Article

Abstract

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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More Heat Than Light - Accepted Manuscript
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Accepted/In Press date: 30 January 2020
e-pub ahead of print date: 31 January 2020
Published date: May 2020
Keywords: Investor attention, Noise trading, Price discovery

Identifiers

Local EPrints ID: 437656
URI: http://eprints.soton.ac.uk/id/eprint/437656
DOI: doi:10.1016/j.irfa.2020.101459
ISSN: 1057-5219
PURE UUID: 89ab8815-53f0-49b0-947f-59ad2c64d56a
ORCID for Frank McGroarty: ORCID iD orcid.org/0000-0003-2962-0927

Catalogue record

Date deposited: 10 Feb 2020 17:30
Last modified: 17 Mar 2024 05:17

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Contributors

Author: Gbenga Ibikunle
Author: Frank McGroarty ORCID iD
Author: Khaladdin Rzayev

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