Bitcoin Pricing. An Empirical Analysis (eBook, PDF)
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Master's Thesis from the year 2018 in the subject Business economics - Miscellaneous, grade: 1,3, University of Hamburg, language: English, abstract: In this paper, I analyze the relation between daily bitcoin returns and sentiment, using a dataset reaching from 2013 to 2018. I find that daily bitcoin returns are not only affected contemporaneous by the bitcoin-sentiment measures, but also in the next three days - while established stock-market sentiment measures provide no explanatory power. Additionally, the negative emotions show return-reversal patterns as often observed in sentiment-induc...
Master's Thesis from the year 2018 in the subject Business economics - Miscellaneous, grade: 1,3, University of Hamburg, language: English, abstract: In this paper, I analyze the relation between daily bitcoin returns and sentiment, using a dataset reaching from 2013 to 2018. I find that daily bitcoin returns are not only affected contemporaneous by the bitcoin-sentiment measures, but also in the next three days - while established stock-market sentiment measures provide no explanatory power. Additionally, the negative emotions show return-reversal patterns as often observed in sentiment-induced mispricing literature, resulting in higher returns the next two days, after affecting returns negatively today. I further find that trading volume affects re-turns positively today, in the next four days, and that it is connected with stock-market measures. For what I wisdom, this is also the first academic research that uses the recently introduced Thomson Reuters MarketPsych Indices on cryptocurrencies.
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