Date of Award

Summer 2019

Document Type


Degree Name

Doctor of Philosophy (PhD)


Business Administration-Finance

Committee Director

Mohammad Najand

Committee Member

Licheng Sun

Committee Member

David Selover


Bitcoin is a decentralized peer to peer digital transactions system that was introduced in 2009 in the aftermath of the financial crisis. Since its introduction, it has had a volatile journey, being adopted by computer programmers, cyber punk enthusiasts, criminals, and financial investors. While the future of bitcoin is still not clear, it has been widely adopted by many, not necessarily as a new method of transactions, but rather as a new investment vehicle. Being a new asset class, there are many unknown financial characteristics to be investigated about bitcoin and in this dissertation, we try to explore two of these characteristics: Price and volume.

In the first essay, we investigate the price-volume relationship. The term “price-volume relationship” in the finance literature, usually implies either relationship between volume and the magnitude of return, or relationship between volume and return per se. It has been established by previous studies that volume is positively related to the magnitude of return. We document that this is the case for bitcoin as well, and that this is merely because of the resampling of observations. The relationship between volume and return per se, however, is more controversial. It has not been studied as heavily and it is mostly observed only in spot markets, which has led scholars to believe it is caused by the restrictions imposed on short- selling in spot markets. We examine this relationship in bitcoin spot and futures markets and argue that while it is only observed in the spot market, the absence of short-selling cannot be the reason for this relationship.

In the second essay, we use market sentiment measures derived from a lexical analysis of news platforms and social media networks to try and forecast returns. We find that our sentiment measures do indeed granger-cause returns in the spot market. However, they do not explain much variation in returns, and therefore are not useful in forecasting prices in the absence of a fundamental model. This relationship is weaker in the futures market which is due to the higher level of investor sophistication in that market. We also examine the effect of our sentiment measures on volatility of returns, and on trading volume and find that they do drive these variables as well.


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