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Information shocks and investor underreaction: Evidence from the Bitcoin market

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  • Meng, Yongqiang
  • Goodell, John W.
  • Shen, Dehua

Abstract

Despite research showing investor attention is especially impacting on Bitcoin, strangely, there is little research focusing on Bitcoin regarding market reactions to information shocks. Employing jumps as a proxy for information shocks, results show significantly more positive daily jump returns than negative daily jump returns. Results also show that Bitcoin investors underreact to large information shocks. Mechanism analysis shows that investor attention reduces the magnitude of underreaction.

Suggested Citation

  • Meng, Yongqiang & Goodell, John W. & Shen, Dehua, 2023. "Information shocks and investor underreaction: Evidence from the Bitcoin market," Finance Research Letters, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004816
    DOI: 10.1016/j.frl.2023.104109
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    References listed on IDEAS

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    Cited by:

    1. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2024. "Bitcoin market reactions to large price swings of international stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 72-88.
    2. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    3. Meng, Yongqiang & Li, Xiao & Xiong, Xiong, 2024. "Information shocks and short-term market overreaction: The role of investor attention," International Review of Financial Analysis, Elsevier, vol. 93(C).
    4. Zhang, Lei & Bouri, Elie & Chen, Yan, 2023. "Co-jump dynamicity in the cryptocurrency market: A network modelling perspective," Finance Research Letters, Elsevier, vol. 58(PB).
    5. Xiaoping Li & Zhipeng Zhang & Junyu Pan & Jihong Duan, 2023. "Investor attention and the predictability of the volatility of CNY‐CNH spreads: Evidence from a GARCH‐MIDAS model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 4939-4959, December.

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