Information shocks and investor underreaction: Evidence from the Bitcoin market

•Jumps as the proxy for information shocks.•positive daily jump returns significantly larger than negative daily jump returns.•Investors underreact to large information shocks.•Investor attention reduces the magnitude of underreaction. Despite research showing investor attention is especially impact...

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Bibliographic Details
Published inFinance research letters Vol. 56; p. 104109
Main Authors Meng, Yongqiang, Goodell, John W., Shen, Dehua
Format Journal Article
LanguageEnglish
Published Elsevier Inc 01.09.2023
Subjects
Bitcoin
Information shocks
Investor attention
Underreaction
Information shocks
Underreaction
Investor attention
Bitcoin
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Summary:•Jumps as the proxy for information shocks.•positive daily jump returns significantly larger than negative daily jump returns.•Investors underreact to large information shocks.•Investor attention reduces the magnitude of underreaction. Despite research showing investor attention is especially impacting on Bitcoin, strangely, there is little research focusing on Bitcoin regarding market reactions to information shocks. Employing jumps as a proxy for information shocks, results show significantly more positive daily jump returns than negative daily jump returns. Results also show that Bitcoin investors underreact to large information shocks. Mechanism analysis shows that investor attention reduces the magnitude of underreaction.
ISSN:1544-6123
1544-6131
DOI:10.1016/j.frl.2023.104109