Media attention and Bitcoin prices
Khaled Guesmi and
Stéphane Goutte ()
Finance Research Letters, 2019, vol. 30, issue C, 37-43
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: G11 G15 C15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:37-43
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