More heat than light: Investor attention and bitcoin price discovery

Gbenga Ibikunle, Frank McGroarty and Khaladdin Rzayev

International Review of Financial Analysis, 2020, vol. 69, issue C

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.

Keywords: Investor attention; Price discovery; Noise trading (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:69:y:2020:i:c:s1057521919306301

DOI: 10.1016/j.irfa.2020.101459

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