Publication

Media attention and Bitcoin prices

Hatem RJIBA, Khaled GUESMI, Stephane GOUTTE, D. PHILIPPAS

We present a dual process diffusion model to examine whether Bitcoin prices behave with jumps attributed to informative signals derived from Twitter and Google Trends. The empirical results indicate that Bitcoin prices are partially driven by a momentum on media attention in social networks, justifying a sentimental appetite for information demand.

Publication type: 
Scientific Article
Date de parution: 
01/2019
Support: 
Finance Research Letters