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
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