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KAIZOJI, Taisei
Professor Division of Arts and Sciences, College of Liberal Arts, International Christian University |
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| Language | English |
| Publication Date | 2019/01 |
| Type | Research Paper |
| Peer Review | With peer review |
| Title | Bitcoin and Investor Sentiment: Statistical Characteristics and Predictability |
| Contribution Type | Joint Work |
| Journal | Physica A |
| Journal Type | Another Country |
| Publisher | Elsevier |
| Volume, Issue, Pages | 514,pp.511-521 |
| Author and coauthor | Cheoljun Eom, Taisei Kaizoji; Sang Hoon Kang; Lukas Pichl |
| Details | This study empirically investigates the statistical characteristics and predictability of Bitcoin return and volatility. The distribution of Bitcoin returns and volatility display a fat right tail and high central parts. Bitcoin does not show the dynamic property of volatility persistence, contrary to stylized facts in financial time series. Also, the autoregressive model using past volatility does not well work in predicting changes in Bitcoin volatility for future periods. Investor sentiment regarding Bitcoin has a significant information value for explaining changes in Bitcoin volatility for future periods. These results suggest that Bitcoin appears to be an investment asset with high volatility and dependence on investor sentiment rather than a monetary asset. |
| URL for researchmap | https://doi.org/10.1016/j.physa.2018.09.063 |