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Bitcoin, speculative sentiments and crypto-assets valuation

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  • Tut, DANIEL

Abstract

What factors drive the valuation of Bitcoin and other crypto-assets? We use a novel measure and show that [1] Sentiments in Bitcoin drive the price action and have a material effect on returns [2] Sentiments in Bitcoin drive the valuation of other cryptocurrency assets [3] Sentiments in Bitcoin drive returns in other cryptocurrency assets. Our results show that optimistic sentiments in Bitcoin drive overvaluation in Bitcoin itself and other cryptocurrency assets. Our results support the notion that liquidity measures are salient factors in price discovery.

Suggested Citation

  • Tut, DANIEL, 2024. "Bitcoin, speculative sentiments and crypto-assets valuation," MPRA Paper 120866, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:120866
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    More about this item

    Keywords

    Valuation; Cryptocurrencies; Bitcoin; Digital Assets; sentiments; speculation;
    All these keywords.

    JEL classification:

    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G3 - Financial Economics - - Corporate Finance and Governance
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G39 - Financial Economics - - Corporate Finance and Governance - - - Other

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