Information shocks and investor underreaction: Evidence from the Bitcoin market

Yongqiang Meng, John W. Goodell and Dehua Shen

Finance Research Letters, 2023, vol. 56, issue C

Abstract: Despite research showing investor attention is especially impacting on Bitcoin, strangely, there is little research focusing on Bitcoin regarding market reactions to information shocks. Employing jumps as a proxy for information shocks, results show significantly more positive daily jump returns than negative daily jump returns. Results also show that Bitcoin investors underreact to large information shocks. Mechanism analysis shows that investor attention reduces the magnitude of underreaction.

Keywords: Bitcoin; Information shocks; Underreaction; Investor attention (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004816

DOI: 10.1016/j.frl.2023.104109

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