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Media attention and Bitcoin prices

Author

Listed:
  • Philippas, Dionisis
  • Rjiba, Hatem
  • Guesmi, Khaled
  • Goutte, Stéphane

Abstract

We present a dual process diffusion model to examine whether Bitcoin prices behave with jumps attributed to informative signals derived from Twitter and Google Trends. The empirical results indicate that Bitcoin prices are partially driven by a momentum on media attention in social networks, justifying a sentimental appetite for information demand.

Suggested Citation

  • Philippas, Dionisis & Rjiba, Hatem & Guesmi, Khaled & Goutte, Stéphane, 2019. "Media attention and Bitcoin prices," Finance Research Letters, Elsevier, vol. 30(C), pages 37-43.
    • Handle: RePEc:eee:finlet:v:30:y:2019:i:c:p:37-43
    DOI: 10.1016/j.frl.2019.03.031
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bitcoin; Twitter; Google trends; Jump diffusion;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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