What drives DeFi prices? Investigating the effects of investor attention

【Author】 Corbet, Shaen; Goodell, John W.; Gunay, Samet

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We comparatively assess drivers of DeFi token prices, testing the impact and connectedness between Bitcoin (as a cryptocurrency asset-class leader), Ethereum (as a platform for DeFi), and Google Trends (as a signal of investor attention). While we evidence varying causal linkages between Bitcoin or Ethereum and Defi tokens, these linkages are restricted to bear markets. In contrast, restricted MS-VAR (LR) modelling uncovers bi-causal relationships between DeFi tokens and investor sentiment in both bull and bear markets. We conclude that, rather than platform valuation, investor attention is a dominant driver of DeFi prices, with DeFi being a separate asset class from mainstream cryptocurrencies.

【Keywords】DeFi; Cryptocurrency; MS-VAR; Causality; Connectedness; Sentiment; DeFi; Cryptocurrency; MS-VAR; Causality; Connectedness; Sentiment

【发表时间】2022 AUG

【收录时间】2022-06-04

【文献类型】理论性文章

【主题类别】

区块链治理-市场治理-数字货币