School of Mathematics and Finance, Chuzhou University, Chuzhou, Anhui, China.
The School of Finance, Renmin University of China, Beijing, Beijing, China.
PLoS One. 2021 Feb 1;16(2):e0246331. doi: 10.1371/journal.pone.0246331. eCollection 2021.
This paper adds to the growing literature of cryptocurrency and behavioral finance. Specifically, we investigate the relationships between the novel investor attention and financial characteristics of Bitcoin, i.e., return and realized volatility, which are the two most important characteristics of one certain asset. Our empirical results show supports in the behavior finance area and argue that investor attention is the granger cause to changes in Bitcoin market both in return and realized volatility. Moreover, we make in-depth investigations by exploring the linear and non-linear connections of investor attention on Bitcoin. The results indeed demonstrate that investor attention shows sophisticated impacts on return and realized volatility of Bitcoin. Furthermore, we conduct one basic and several long horizons out-of-sample forecasts to explore the predictive ability of investor attention. The results show that compared with the traditional historical average benchmark model in forecasting technologies, investor attention improves prediction accuracy in Bitcoin return. Finally, we build economic portfolios based on investor attention and argue that investor attention can further generate significant economic values. To sum up, investor attention is a non-negligible pricing factor for Bitcoin asset.
本文为加密货币和行为金融学领域的研究增添了新的内容。具体而言，我们研究了新型投资者关注度与比特币的金融特征（即收益和已实现波动率）之间的关系，这是某一特定资产的两个最重要特征。我们的实证结果支持了行为金融学领域的观点，即投资者关注度是比特币市场收益和已实现波动率变化的格兰杰原因。此外，我们通过探索投资者关注度对比特币的线性和非线性关系进行了深入调查。结果确实表明，投资者关注度对比特币的收益和已实现波动率产生了复杂的影响。此外，我们进行了一项基本的和几项长时距的样本外预测，以探讨投资者关注度的预测能力。结果表明，与传统的历史平均基准模型相比，投资者关注度在比特币收益预测方面提高了预测精度。最后，我们基于投资者关注度构建了经济投资组合，并认为投资者关注度可以进一步产生显著的经济价值。总之，投资者关注度是比特币资产的一个不可忽视的定价因素。
