A Socio-Finance Model: The Case of Bitcoin

Yongqiang Meng (), Dehua Shen, Xiong Xiong and Jørgen Vitting Andersen ()
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Yongqiang Meng: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, TJU - Tianjin University
Xiong Xiong: TJU - Tianjin University
Jørgen Vitting Andersen: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper investigates the relations between multiple measures of investor sentiment and the returns, volatility, trading volume, and liquidity. Using both data outside and inside market, we find that the Bullishness from socio-finance model are significant related to future realized volatility and trading volume, similar to Tweet, which is thought to capture information of well-informed investors in Bitcoin market.

Date: 2020-10
New Economics Papers: this item is included in nep-cwa and nep-pay
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Published in 2020

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Working Paper: A Socio-Finance Model: The Case of Bitcoin (2020)
Working Paper: A Socio-Finance Model: The Case of Bitcoin (2020)
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