学术讲座 | 金融学系讲座（2023-09-27）

Finance Seminar

2023-29

Topic: Social Learning and Sentiment Contagion in the Bitcoin Market

Speaker: Bing Han, University of Toronto

Time: Wednesday, September 27, 10:00-11:30 a.m. Beijing Time

Location: Room 217, Guanghua Building 2

ABSTRACT

Using novel data on investors’ social interactions, we document sentiment contagion as a direct consequence of social learning in the Bitcoin market. Our findings suggest that the social learning process is inefficient, as investors respond positively to social sentiment, but social sentiment does not positively predict returns. Echo chamber effect and selective interpretation of information may simultaneously contribute to such inefficiency. We further confirm that sentiment contagion is not a sideshow: at the individual level, sentiment contagion predicts the direction of trading conditional on its occurrence; at the Bitcoin market level, the aggregated sentiment contagion index positively predicts market trading volume and volatility. Moreover, we highlight the error-prone nature of social learning, wherein the socially constructed optimism predicts Bitcoin crashes. Finally, we establish a link between social learning and bubbles: the elevated propagation of optimism is highly correlated with the trading volume.

(Joint with Haoyang Liu and Pengfei Sui)

INTRODUCTION

韩冰, 加拿大多伦多大学罗特曼管理学院金融学教授，多伦多证券交易所资本市场讲座教授。韩冰教授的主要研究领域是资产定价，投资，行为金融学。他的多篇论文发表在经济，金融和管理学学术杂志上，包括Journal of Finance, Journal of Financial Economics，Review of Financial Studies， Review of Economic Studies，International Economic Review, Journal of Economic Theory，Management Science等。他的研究成果受到《纽约时报》、《华尔街日报》、《华盛顿邮报》、《经济学人》等媒体的专访和报导。韩冰教授获得了众多国际知名学术奖项，包括欧洲金融协会最佳论文奖，中国金融协会会议最佳论文奖，美国个人投资者协会在资产定价研究中获优秀论文奖，上海风险论坛最佳论文奖, 中国国际金融与政策论坛杰出论文奖。