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Bitcoin ambiguity

Bitcoin ambiguity
Bitcoin ambiguity
Rationally justifying Bitcoin markets' huge price fluctuations has remained a persistent challenge for both investors and researchers in this field. A primary reason is our potential weakness towards a robust quantification of unquantifiable risks or ambiguity in Bitcoin returns. This paper introduces a behavioural channel to offer the degree of ambiguity aversion as prominent source of abnormal returns from investment in Bitcoin markets. Using daily data over a period of ten years, we show that in general, Bitcoin investors depict an increasing aversion to ambiguity. Furthermore, we find that Bitcoin investors earn abnormal returns only when ambiguity is low. Robustness exercise reassures validity of our results.
1-38
Luo, Di
cc1b0fa7-f630-45dc-ab05-495f9023148f
Mishra, Tapas
218ef618-6b3e-471b-a686-15460da145e0
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Zhang, Zhuang
df7b9fa8-04fd-4085-b74d-c9c1506b974e
Luo, Di
cc1b0fa7-f630-45dc-ab05-495f9023148f
Mishra, Tapas
218ef618-6b3e-471b-a686-15460da145e0
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Zhang, Zhuang
df7b9fa8-04fd-4085-b74d-c9c1506b974e

Luo, Di, Mishra, Tapas, Yarovaya, Larisa and Zhang, Zhuang (2021) Bitcoin ambiguity. Sustainable Financial Innovation Centre (SFiC) Annual Conference University of Birmingham, University of Birmingham, Virtual, United Kingdom. 21 - 22 Jan 2021. pp. 1-38 .

Record type: Conference or Workshop Item (Paper)

Abstract

Rationally justifying Bitcoin markets' huge price fluctuations has remained a persistent challenge for both investors and researchers in this field. A primary reason is our potential weakness towards a robust quantification of unquantifiable risks or ambiguity in Bitcoin returns. This paper introduces a behavioural channel to offer the degree of ambiguity aversion as prominent source of abnormal returns from investment in Bitcoin markets. Using daily data over a period of ten years, we show that in general, Bitcoin investors depict an increasing aversion to ambiguity. Furthermore, we find that Bitcoin investors earn abnormal returns only when ambiguity is low. Robustness exercise reassures validity of our results.

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BitcoinAmibiguity (3) - Accepted Manuscript
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Published date: 22 January 2021
Venue - Dates: Sustainable Financial Innovation Centre (SFiC) Annual Conference University of Birmingham, University of Birmingham, Virtual, United Kingdom, 2021-01-21 - 2021-01-22

Identifiers

Local EPrints ID: 446290
URI: http://eprints.soton.ac.uk/id/eprint/446290
PURE UUID: 6d0e0f16-474d-464d-b549-0cf934de2ba0
ORCID for Di Luo: ORCID iD orcid.org/0000-0001-7405-6347
ORCID for Tapas Mishra: ORCID iD orcid.org/0000-0002-6902-2326
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917
ORCID for Zhuang Zhang: ORCID iD orcid.org/0000-0001-5369-3144

Catalogue record

Date deposited: 03 Feb 2021 17:35
Last modified: 13 Dec 2021 03:31

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