Faculty Publications
Document Type
Article
Publication Version
Published Version
Keywords
bitcoin, bitcoin futures, causality, cointegration, investor attention, sentiment
Journal/Book/Conference Title
Journal of Risk and Financial Management
Volume
16
Issue
11
Abstract
This research investigates the function of price discovery between the Bitcoin futures and the spot markets while also analyzing the impact of investor sentiment and attention on these markets. This study utilizes various statistical models to examine the short-term and long-term relations between these variables, including the bivariate Granger causality model, the ARDL and NARDL models, and the Johansen cointegration procedure with a vector error correction mechanism. The results suggest that there is no statistical evidence of price discovery between the Bitcoin spot price and futures, and the term structure of the Bitcoin futures neither enriches nor impairs this lead lag relation. However, the study finds robust evidence of a long-run cointegrating relation between the two markets and the presence of asymmetry in them. Moreover, this research indicates that investor sentiment exhibits a lead lag relation with both the Bitcoin futures and the spot markets, while investor attention only leads to the Bitcoin spot market, without showing any lead lag relation with the Bitcoin futures. These findings highlight the crucial role of investor behavior in affecting both Bitcoin futures and spot prices.
Department
Department of Finance
Original Publication Date
11-1-2023
Object Description
1 PDF File
DOI of published version
10.3390/jrfm16110474
Repository
UNI ScholarWorks, Rod Library, University of Northern Iowa
Copyright
©2023 by the authors. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license.
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Language
en
File Format
application/pdf
Recommended Citation
Narayanasamy, Arun; Panta, Humnath; and Agarwal, Rohit, "Relations Among Bitcoin Futures, Bitcoin Spot, Investor Attention, and Sentiment" (2023). Faculty Publications. 5455.
https://scholarworks.uni.edu/facpub/5455
Comments
First published in Journal of Risk and Financial Management, v16I11 (Nov 2023) published by MDPI. DOI: https://doi.org/10.3390/jrfm16110474