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How Do Large Stakes Influence Bitcoin Performance? Evidence from the Mt.Gox Liquidation Case

 
: Kremser, Thomas; Radszuwill, Sven; Schweizer, André; Steffek, Bernhard

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Volltext (PDF; )

Twenty-Seventh European Conference on Information Systems, ECIS 2019. Proceedings : June 8-14, 2019, Stockholm-Uppsala, Sweden
AIS Electronic Library (AISeL), 2019
ISBN: 978-1-7336325-0-8
18 S.
European Conference on Information Systems (ECIS) <27, 2019, Stockholm-Uppsala>
Englisch
Konferenzbeitrag, Elektronische Publikation
Fraunhofer FIT ()

Abstract
Bitcoin as the first and still most important decentralized cryptocurrency has gained wide popularity due to the steep rise of its price during the second half of 2017. Because of its digital nature, Bitcoin cannot be valuated exclusively with fundamental approaches, which is why factors such as investor sentiment have become a common alternative to capture its performance. In this work, we studied whether and how the sale of Bitcoins from the insolvency assets of Mt.Gox, which represent about 1.1% of the current global total, relates to Bitcoin price movements. We used social media sentiment analysis of Twitter data to examine how investors are influenced in their decision to buy or sell Bitcoin when confronted with the trade actions of Nobuaki Kobayashi, the trustee in charge of the Mt.Gox case. We built a vector error correction model to analyse the long-run relationship between cointegrated variables. Our analysis confirms the positive association of Bitcoin performance with positive Twitter sentiment and tweet volume and the negative association with negative sentiment. We further found empirical evidence that Mt.Gox selloff events have a lasting negative impact on the Bitcoin price and that we can measure this effect by Twitter sentiment and tweet volume.

: http://publica.fraunhofer.de/dokumente/N-549102.html