Investor attention and cryptocurrency: Evidence from the Bitcoin market

• DOI: 10.1371/journal.pone.0246331
• Publication Date: 2021-02-01T21:21:37Z
• Authors: Panpan Zhu; Xing Zhang; You Wu; Hao Zheng; Yinpeng Zhang
• Keywords: Benchmark (surveying); Investor behavior

This paper adds to the growing literature of cryptocurrency and behavioral finance. Specifically, we investigate relationships between novel investor attention financial characteristics Bitcoin, i.e., return realized volatility, which are two most important one certain asset. Our empirical results show supports in behavior finance area argue that is granger cause changes Bitcoin market both volatility. Moreover, make in-depth investigations by exploring linear non-linear connections on Bitcoin. The indeed demonstrate shows sophisticated impacts volatility Furthermore, conduct basic several long horizons out-of-sample forecasts explore predictive ability attention. compared with traditional historical average benchmark model forecasting technologies, improves prediction accuracy return. Finally, build economic portfolios based can further generate significant values. To sum up, a non-negligible pricing factor for