Bitcoin: Speculative asset or innovative technology?

【Author】 Lee, Adrian D.; Li, Mengling; Zheng, Huanhuan

【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

【影响因子】4.217

【Abstract】We unite investment by speculators and tech-savvy investors with a heterogeneous agent model. While speculators seek to profit from extrapolating the price trends, tech-savvy investors trade based on the prospective value of Bitcoin, which is a function of factors that capture the market demand and technical supply of Bitcoin. Estimating the structural model, we find the coexistence of speculators and tech-savvy investors in the Bitcoin market. We further show that, regardless of the market states, tech-savvy investors consistently buy (sell) Bitcoin when its price goes below (above) the prospective value. However, speculators follow a momentum trading strategy in the high-market-volatility regime and switch to a contrarian strategy in the low-market-volatility regime. Our finding suggests that a significant fraction of tech-savvy investors value the potential of Bitcoin as an innovative technology. Incorporating heterogeneous investors yields better in-sample estimation efficiency and out-of-sample forecasting precision than models that consider only speculators or tech-savvy investors. (C) 2020 Elsevier B.V. All rights reserved.

【Keywords】Fintech; Cryptocurrency; Tech-savvy investor; Heterogeneity; Speculation

【发表时间】2020 JUL

【收录时间】2022-01-02

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