Abstract
This paper aims to investigate the linkage between Bitcoin market and stock markets. By employing high-frequency Bitcoin trading data, we find intraday Bitcoin price reversals following large price swings in stock markets, confirming the overreaction hypothesis. Specifically, Bitcoin market overreaction to developed stock markets is more prominent and persistent than that of the emerging stock markets. The subperiod analysis shows that network effect, investor sentiment, economic policy uncertainty, and investor attention, are crucial determinants of overreaction. These findings suggest the interdependence between the Bitcoin market and stock markets, which could provide hedge opportunities for international investors.
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