Price clustering and sentiment in bitcoin

被引：42

作者：

Baig, Ahmed ^{[1
]}

Blau, Benjamin M. ^{[2
]}

Sabah, Nasim ^{[1
]}

机构：

[1] Texas Tech Univ, Rawls Coll Business, Area Finance, Lubbock, TX 79409 USA

[2] Utah State Univ, Huntsman Sch Business, Dept Econ & Finance, Logan, UT 84322 USA

来源：

FINANCE RESEARCH LETTERS | 2019年 / 29卷

关键词：

Bitcoin; Cryptocurrency; Price clustering; Round prices; Sentiment; INEFFICIENCY;

D O I：

10.1016/j.frl.2019.03.013

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

While prior research provides evidence of price clustering in bitcoin, this study seeks to explain the unusual level of bitcoin price clustering using various measures of bitcoin-level and market-wide sentiment. Our results suggest that sentiment has a strong positive association with price clustering. In economic terms, a one standard deviation increase in sentiment - measured by Google Trends - explains about 2.5% to 5% of the unusual level of price clustering in Bitcoin. We also find that our results are robust when we use other measures of investor sentiment.

引用

页码：111 / 116

页数：6

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