Investor attention in cryptocurrency markets

Lee Smales

International Review of Financial Analysis, 2022, vol. 79, issue C

Abstract: We examine the relationship between investor attention, and measures of uncertainty, with the market dynamics of Bitcoin and other cryptocurrencies. We find that increases in investor attention are associated with higher returns, more volatility, and greater illiquidity in cryptocurrency markets. In contrast, cryptocurrency uncertainty (UCRY) and financial market uncertainty (VIX) are also positively related to volatility and illiquidity but have a negative contemporaneous relationship with returns. The identified relationships are accentuated during the COVID-pandemic, and are robust to different measures of investor attention, volatility, and illiquidity. Our results suggest that monitoring investor attention could assist both investors and policymakers.

Keywords: Cryptocurrency; Investor attention; Uncertainty; Bitcoin; Google search volume (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 G40 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:79:y:2022:i:c:s105752192100288x

DOI: 10.1016/j.irfa.2021.101972

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