Bitcoin Pricing. An Empirical Analysis

Master's Thesis , 2018 , 44 Pages , Grade: 1,3

Business economics - Miscellaneous

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.

Table of Contents

I. Introduction

II. Stock Sentiment Literature
A. Bitcoin Framework
A.1. Bitcoin Sentiment Literature

III. Data and Methodology
A. Thomson Reuters MarketPsych Indices
A.1. Constructing Sentiment Measures
A.2. Measures

IV. Empirical Results
A. Bitcoin Sentiment Measures and Future Returns
B. Drivers of Bitcoin Tradevolume

V. Conclusions

References

Tables

Figures

Appendix

• College: University of Hamburg
• Grade: 1,3
• Author: Andreas Bialek (Author)
• Publication Year: 2018
• Pages: 44
• Catalog Number: V459668
• ISBN (eBook): 9783668911307
• ISBN (Book): 9783668911314
• Language: English
• Tags: Bitcoin, Sentiment, Pricing, Empirical, Reversal, TRMI, Returns