What drives DeFi prices? Investigating the effects of investor attention

被引：53

作者：

Corbet, Shaen ^{[1
,2
]}

Goodell, John W. ^{[3
]}

Gunay, Samet ^{[4
]}

机构：

[1] Dublin City Univ, DCU Business Sch, Dublin 9, Ireland

[2] Univ Waikato, Sch Accounting Finance & Econ, Hamilton, New Zealand

[3] Univ Akron, Akron, OH 44325 USA

[4] Amer Univ Middle East AUM, Egaila, Kuwait

来源：

FINANCE RESEARCH LETTERS | 2022年 / 48卷

关键词：

DeFi; Cryptocurrency; MS-VAR; Causality; Connectedness; Sentiment; RETURNS;

D O I：

10.1016/j.frl.2022.102883

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We comparatively assess drivers of DeFi token prices, testing the impact and connectedness between Bitcoin (as a cryptocurrency asset-class leader), Ethereum (as a platform for DeFi), and Google Trends (as a signal of investor attention). While we evidence varying causal linkages between Bitcoin or Ethereum and Defi tokens, these linkages are restricted to bear markets. In contrast, restricted MS-VAR (LR) modelling uncovers bi-causal relationships between DeFi tokens and investor sentiment in both bull and bear markets. We conclude that, rather than platform valuation, investor attention is a dominant driver of DeFi prices, with DeFi being a separate asset class from mainstream cryptocurrencies.

引用

页数：7

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