Underreaction and overreaction in Bitcoin market

【Author】 Liu, Tianquan; Wang, Yiming; Yan, Yu

【Source】APPLIED ECONOMICS LETTERS

【影响因子】1.287

【Abstract】Bitcoin market had a significant momentum phenomenon before the launch of Futures, and then it turned into an insignificant reversal effect. After Covid-19 appeared, the momentum effect and reversal effect disappeared. The advent of bitcoin futures has increased how investors respond to information. With the outbreak of COVID-19, investor interest in Bitcoin as a safe-haven asset has increased the effectiveness of the price. We estimate the speed of signal diffusion in the bitcoin market, and the results support that effective response to information is the essential mechanism for the disappearance of momentum effect.

【Keywords】Momentum effect; overreaction; underreaction; Bitcoin Market; Bitcoin Futures

【发表时间】

【收录时间】2022-06-09

【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