The role of media coverage in the bubble formation: Evidence from the Bitcoin market

Yi Li; Wei Zhang; Andrew Urquhart; Pengfei Wang

doi:10.1016/j.intfin.2022.101629

The role of media coverage in the bubble formation: Evidence from the Bitcoin market

Yi Li
, Wei Zhang
, Andrew Urquhart^*
, Pengfei Wang

^*Corresponding author for this work

School of Economics

Research output: Contribution to journal › Article › peer-review

14 Citations (Scopus)

Abstract

This paper explores the role of media coverage in bubble formation in the Bitcoin market. Three main findings emerge. First, media coverage, regardless of the tone, increases the next day's Bitcoin returns in the bubble period but not in the non-bubble period. Second, the Bitcoin returns can predict media coverage of Bitcoin both in the bubble and non-bubble periods. Finally, there is an insignificant relationship between media coverage and the next day's Bitcoin's trading volume in the bubble period but a negative relationship between them in the non-bubble period. Overall, our findings demonstrate that media coverage can act as a driver of Bitcoin returns during bubbles, providing support to Shiller's argument and advancing understandings of the formation of bubbles and influences of media coverage.

Original language	English
Article number	101629
Journal	Journal of International Financial Markets, Institutions and Money
Volume	80
DOIs	https://doi.org/10.1016/j.intfin.2022.101629
Publication status	Published - Sept 2022

Keywords

Asset bubbles
Cryptocurrencies
Media coverage

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10.1016/j.intfin.2022.101629

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title = "The role of media coverage in the bubble formation: Evidence from the Bitcoin market",

abstract = "This paper explores the role of media coverage in bubble formation in the Bitcoin market. Three main findings emerge. First, media coverage, regardless of the tone, increases the next day's Bitcoin returns in the bubble period but not in the non-bubble period. Second, the Bitcoin returns can predict media coverage of Bitcoin both in the bubble and non-bubble periods. Finally, there is an insignificant relationship between media coverage and the next day's Bitcoin's trading volume in the bubble period but a negative relationship between them in the non-bubble period. Overall, our findings demonstrate that media coverage can act as a driver of Bitcoin returns during bubbles, providing support to Shiller's argument and advancing understandings of the formation of bubbles and influences of media coverage.",

keywords = "Asset bubbles, Cryptocurrencies, Media coverage",

author = "Yi Li and Wei Zhang and Andrew Urquhart and Pengfei Wang",

note = "Publisher Copyright: {\textcopyright} 2022 Elsevier B.V.",

year = "2022",

month = sep,

doi = "10.1016/j.intfin.2022.101629",

language = "English",

volume = "80",

journal = "Journal of International Financial Markets, Institutions and Money",

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AU - Li, Yi

AU - Zhang, Wei

AU - Urquhart, Andrew

AU - Wang, Pengfei

PY - 2022/9

Y1 - 2022/9

N2 - This paper explores the role of media coverage in bubble formation in the Bitcoin market. Three main findings emerge. First, media coverage, regardless of the tone, increases the next day's Bitcoin returns in the bubble period but not in the non-bubble period. Second, the Bitcoin returns can predict media coverage of Bitcoin both in the bubble and non-bubble periods. Finally, there is an insignificant relationship between media coverage and the next day's Bitcoin's trading volume in the bubble period but a negative relationship between them in the non-bubble period. Overall, our findings demonstrate that media coverage can act as a driver of Bitcoin returns during bubbles, providing support to Shiller's argument and advancing understandings of the formation of bubbles and influences of media coverage.

AB - This paper explores the role of media coverage in bubble formation in the Bitcoin market. Three main findings emerge. First, media coverage, regardless of the tone, increases the next day's Bitcoin returns in the bubble period but not in the non-bubble period. Second, the Bitcoin returns can predict media coverage of Bitcoin both in the bubble and non-bubble periods. Finally, there is an insignificant relationship between media coverage and the next day's Bitcoin's trading volume in the bubble period but a negative relationship between them in the non-bubble period. Overall, our findings demonstrate that media coverage can act as a driver of Bitcoin returns during bubbles, providing support to Shiller's argument and advancing understandings of the formation of bubbles and influences of media coverage.

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KW - Cryptocurrencies

KW - Media coverage

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M3 - Article

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VL - 80

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

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ER -

The role of media coverage in the bubble formation: Evidence from the Bitcoin market

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