The Effects of Investor Attention on Bitcoin and Its Derivatives

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Gheidi, Mohammad | 2024

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 57217 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Zamani, Shiva
Abstract:
In this research, we analyzed the relationship between investor attention (measured by the Google Search Volume Index) and the variables for the Bitcoin derivatives market. Using Vector Autoregressions and Granger causality tests, we show that in the significance level of 5%, there is no Granger causality between Bitcoin futures return and investor attention, there is a Granger causality from Bitcoin futures volatility to investor attention, there is a Granger causality from investor attention to Bitcoin implied volatility, and there is a bidirectional Granger causality between investor attention and Bitcoin volatility risk premium. The results are robust after controlling for economic uncertainty
Keywords:
Bitcoin ; Financial Derivative Instrument ; Vector Autoregressive Model ; Granger Causality ; Granger Casuality in Risk ; Investor Attention

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