Abstract

Despite research showing investor attention is especially impacting on Bitcoin, strangely, there is little research focusing on Bitcoin regarding market reactions to information shocks. Employing jumps as a proxy for information shocks, results show significantly more positive daily jump returns than negative daily jump returns. Results also show that Bitcoin investors underreact to large information shocks. Mechanism analysis shows that investor attention reduces the magnitude of underreaction.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call