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A Socio-Finance Model: The Case of Bitcoin

Author

Listed:
  • Yongqiang Meng

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, TJU - Tianjin University)

  • Dehua Shen

    (TJU - Tianjin University)

  • Xiong Xiong

    (TJU - Tianjin University)

  • Jørgen Vitting Andersen

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper investigates the relations between multiple measures of investor sentiment and the returns, volatility, trading volume, and liquidity. Using both data outside and inside market, we find that the Bullishness from socio-finance model are significant related to future realized volatility and trading volume, similar to Tweet, which is thought to capture information of well-informed investors in Bitcoin market.

Suggested Citation

  • Yongqiang Meng & Dehua Shen & Xiong Xiong & Jørgen Vitting Andersen, 2020. "A Socio-Finance Model: The Case of Bitcoin," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03048777, HAL.
    • Handle: RePEc:hal:cesptp:halshs-03048777
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03048777
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    References listed on IDEAS

    as
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    JEL classification:

    • G4 - Financial Economics - - Behavioral Finance
    • G40 - Financial Economics - - Behavioral Finance - - - General

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