Price clustering and sentiment in bitcoin

Ahmed Baig, Benjamin Blau () and Nasim Sabah

Finance Research Letters, 2019, vol. 29, issue C, 111-116

Abstract: While prior research provides evidence of price clustering in bitcoin, this study seeks to explain the unusual level of bitcoin price clustering using various measures of bitcoin-level and market-wide sentiment. Our results suggest that sentiment has a strong positive association with price clustering. In economic terms, a one standard deviation increase in sentiment – measured by Google Trends – explains about 2.5% to 5% of the unusual level of price clustering in Bitcoin. We also find that our results are robust when we use other measures of investor sentiment.

Keywords: Bitcoin; Cryptocurrency; Price clustering; Round prices; Sentiment (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612318308687
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:111-116

DOI: 10.1016/j.frl.2019.03.013

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().