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Price clustering and sentiment in bitcoin

Author

Listed:
  • Baig, Ahmed
  • Blau, Benjamin M.
  • Sabah, Nasim

Abstract

While prior research provides evidence of price clustering in bitcoin, this study seeks to explain the unusual level of bitcoin price clustering using various measures of bitcoin-level and market-wide sentiment. Our results suggest that sentiment has a strong positive association with price clustering. In economic terms, a one standard deviation increase in sentiment – measured by Google Trends – explains about 2.5% to 5% of the unusual level of price clustering in Bitcoin. We also find that our results are robust when we use other measures of investor sentiment.

Suggested Citation

  • Baig, Ahmed & Blau, Benjamin M. & Sabah, Nasim, 2019. "Price clustering and sentiment in bitcoin," Finance Research Letters, Elsevier, vol. 29(C), pages 111-116.
    • Handle: RePEc:eee:finlet:v:29:y:2019:i:c:p:111-116
    DOI: 10.1016/j.frl.2019.03.013
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Bitcoin; Cryptocurrency; Price clustering; Round prices; Sentiment;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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