Media attention and Bitcoin prices

Dionisis Philippas, Hatem Rjiba (), Khaled Guesmi and Stéphane Goutte

Finance Research Letters, 2019, vol. 30, issue C, 37-43

Abstract: We present a dual process diffusion model to examine whether Bitcoin prices behave with jumps attributed to informative signals derived from Twitter and Google Trends. The empirical results indicate that Bitcoin prices are partially driven by a momentum on media attention in social networks, justifying a sentimental appetite for information demand.

Keywords: Bitcoin; Twitter; Google trends; Jump diffusion (search for similar items in EconPapers)
JEL-codes: C15 G11 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (68)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:37-43

DOI: 10.1016/j.frl.2019.03.031

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