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Media attention and Bitcoin prices

Author

Listed:
  • Dionisis Philippas
  • Hatem Rjiba

    (IRG - Institut de Recherche en Gestion - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)

  • Khaled Guesmi

    (IPAG Paris - IPAG Paris)

  • Stéphane Goutte

    (LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8)

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Dionisis Philippas & Hatem Rjiba & Khaled Guesmi & Stéphane Goutte, 2019. "Media attention and Bitcoin prices," Post-Print halshs-02148912, HAL.
    • Handle: RePEc:hal:journl:halshs-02148912
    DOI: 10.1016/j.frl.2019.03.031
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    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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