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Bitcoin speculation, investor attention and major events. Are they connected?

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  • Chun Tang
  • Xiaoxing Liu

Abstract

We use a time-varying vector autoregressive model to investigate the dynamic effect of investor attention on Bitcoin speculation and then examine the association of this effect with five types of events in the Bitcoin market. The results indicate that investor attention has a positive effect on Bitcoin speculation and this effect changes with time and decays as lag phases increase. Policy-related events are the key factors that make this effect time-varying, while safety events have no obvious impact. Besides, our results find the existence of contrarian strategy in the Bitcoin market.

Suggested Citation

  • Chun Tang & Xiaoxing Liu, 2023. "Bitcoin speculation, investor attention and major events. Are they connected?," Applied Economics Letters, Taylor & Francis Journals, vol. 30(8), pages 1033-1041, May.
    • Handle: RePEc:taf:apeclt:v:30:y:2023:i:8:p:1033-1041
    DOI: 10.1080/13504851.2022.2033677
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