The role of media coverage in the bubble formation: Evidence from the Bitcoin market

【Author】 Li, Yi; Zhang, Wei; Urquhart, Andrew; Wang, Pengfei

【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

【影响因子】4.217

【Abstract】This paper explores the role of media coverage in bubble formation in the Bitcoin market. Three main findings emerge. First, media coverage, regardless of the tone, increases the next day's Bitcoin returns in the bubble period but not in the non-bubble period. Second, the Bitcoin returns can predict media coverage of Bitcoin both in the bubble and non-bubble periods. Finally, there is an insignificant relationship between media coverage and the next day's Bitcoin's trading volume in the bubble period but a negative relationship between them in the non-bubble period. Overall, our findings demonstrate that media coverage can act as a driver of Bitcoin returns during bubbles, providing support to Shiller's argument and advancing understandings of the formation of bubbles and influences of media coverage.

【Keywords】Media coverage; Asset bubbles; Cryptocurrencies

【发表时间】2022 SEP

【收录时间】2022-10-28

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币