Information shocks and investor underreaction: Evidence from the Bitcoin market

被引：4
|
作者：
Meng, Yongqiang [1 ]
Goodell, John W. [2 ]
Shen, Dehua [3 ,4 ]
机构：
[1] Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China
[2] Univ Akron, Coll Business, Akron, OH 44325 USA
[3] Nankai Univ, Sch Finance, Tianjin 300350, Peoples R China
[4] Nankai Univ, Finance Sch Finance, 38 Tongyan Rd, Tianjin 300350, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 56卷
基金：
中国国家自然科学基金;
关键词：
Bitcoin; Information shocks; Underreaction; Investor attention; NEWS; IMPACT; DRIFT;
D O I：
10.1016/j.frl.2023.104109
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页数：8
相关论文
共 50 条
  • [1] Underreaction and overreaction in Bitcoin market
    Liu, Tianquan
    Wang, Yiming
    Yan, Yu
    APPLIED ECONOMICS LETTERS, 2023, 30 (12) : 1685 - 1691
  • [2] Investor attention and cryptocurrency: Evidence from the Bitcoin market
    Zhu, Panpan
    Zhang, Xing
    Wu, You
    Zheng, Hao
    Zhang, Yinpeng
    PLOS ONE, 2021, 16 (02):
  • [3] Information Shocks and Short-Term Market Underreaction
    Jiang, George J.
    Zhu, Kevin X.
    JOURNAL OF FINANCIAL ECONOMICS, 2017, 124 (01) : 43 - 64
  • [4] What Drives Stock Market Underreaction to Liquidity Shocks? Evidence from Korea*
    Jang, Jeewon
    ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2022, 51 (01) : 44 - 80
  • [5] Investor attention and bitcoin liquidity: Evidence from bitcoin tweets
    Choi, Hyungeun
    FINANCE RESEARCH LETTERS, 2021, 39
  • [6] The Interplay Between Investor Activity on Virtual Investment Community and the Trading Dynamics: Evidence From the Bitcoin Market
    Peng Xie
    Information Systems Frontiers, 2022, 24 : 1287 - 1303
  • [7] The Interplay Between Investor Activity on Virtual Investment Community and the Trading Dynamics: Evidence From the Bitcoin Market
    Xie, Peng
    INFORMATION SYSTEMS FRONTIERS, 2022, 24 (04) : 1287 - 1303
  • [8] Bayesian Investor Belief Updating Speed and Market Underreaction to Earnings Announcements
    Han, Yan
    Cui, Xin
    Tian, Gloria Y.
    Wang, Peipei
    AUSTRALIAN ACCOUNTING REVIEW, 2023, 33 (01) : 66 - 85
  • [9] Market efficiency of cryptocurrency: evidence from the Bitcoin market
    Eojin Yi
    Biao Yang
    Minhyuk Jeong
    Sungbin Sohn
    Kwangwon Ahn
    Scientific Reports, 13
  • [10] Market efficiency of cryptocurrency: evidence from the Bitcoin market
    Yi, Eojin
    Yang, Biao
    Jeong, Minhyuk
    Sohn, Sungbin
    Ahn, Kwangwon
    SCIENTIFIC REPORTS, 2023, 13 (01)
12345