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How Does Investor Attention Impact the Price of Bitcoin?

Skaug, Nicoline; Bratlie, Minda Marie
Master thesis
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2285101.pdf (2.212Mb)
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http://hdl.handle.net/11250/2623811
Utgivelsesdato
2019
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Samlinger
  • Master of Science [1117]
Sammendrag
Bitcoin has emerged to become the most popular cryptocurrency and its presence

has the potential to disrupt existing payment and monetary systems. Over the past

decade, the bitcoin price has exhibited extreme volatility, puzzling for both academics

and market practitioners. We examine the dynamic relationship between

investor attention and the bitcoin price using principal component analysis and vector

error correction models and discover that investor attention is an important contributor

in bitcoin price formation. Variance decomposition analysis suggests that

investor attention explain a significant amount of future variations in the bitcoin

price, and investor attention can be used to predict direction of future price change.

Our study offers insight into the bitcoin market and the economic impact of investor

attention.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019
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Handelshøyskolen BI

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