Relations among Bitcoin Futures, Bitcoin Spot, Investor Attention, and Sentiment

Arun Narayanasamy (), Humnath Panta and Rohit Agarwal
Additional contact information
Arun Narayanasamy: Department of Finance, University of Northern Iowa, Cedar Falls, IA 50614, USA
Humnath Panta: School of Business, Cal Poly Humboldt, Arcata, CA 95519, USA
Rohit Agarwal: Department of Economics, Finance and Accounting, University of South Carolina Upstate, Spartanburg, SC 29303, USA

JRFM, 2023, vol. 16, issue 11, 1-24

Abstract: This research investigates the function of price discovery between the Bitcoin futures and the spot markets while also analyzing the impact of investor sentiment and attention on these markets. This study utilizes various statistical models to examine the short-term and long-term relations between these variables, including the bivariate Granger causality model, the ARDL and NARDL models, and the Johansen cointegration procedure with a vector error correction mechanism. The results suggest that there is no statistical evidence of price discovery between the Bitcoin spot price and futures, and the term structure of the Bitcoin futures neither enriches nor impairs this lead lag relation. However, the study finds robust evidence of a long-run cointegrating relation between the two markets and the presence of asymmetry in them. Moreover, this research indicates that investor sentiment exhibits a lead lag relation with both the Bitcoin futures and the spot markets, while investor attention only leads to the Bitcoin spot market, without showing any lead lag relation with the Bitcoin futures. These findings highlight the crucial role of investor behavior in affecting both Bitcoin futures and spot prices.

Keywords: bitcoin; bitcoin futures; investor attention; sentiment; causality; cointegration (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.mdpi.com/1911-8074/16/11/474/pdf (application/pdf)
https://www.mdpi.com/1911-8074/16/11/474/ (text/html)

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:gam:jjrfmx:v:16:y:2023:i:11:p:474-:d:1273906

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().