Underreaction and overreaction in Bitcoin market

Tianquan Liu, Yiming Wang and Yu Yan

Applied Economics Letters, 2023, vol. 30, issue 12, 1685-1691

Abstract: Bitcoin market had a significant momentum phenomenon before the launch of Futures, and then it turned into an insignificant reversal effect. After Covid-19 appeared, the momentum effect and reversal effect disappeared. The advent of bitcoin futures has increased how investors respond to information. With the outbreak of COVID-19, investor interest in Bitcoin as a safe-haven asset has increased the effectiveness of the price. We estimate the speed of signal diffusion in the bitcoin market, and the results support that effective response to information is the essential mechanism for the disappearance of momentum effect.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2022.2078775 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:30:y:2023:i:12:p:1685-1691

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2022.2078775

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().