Attention and retail investor herding in cryptocurrency markets

Sophia Koch and Thomas Dimpfl

Finance Research Letters, 2023, vol. 51, issue C

Abstract: We study how retail investor attention influences the joint evolution of cryptocurrency prices. The co-movement is measured using realized correlation and a R2-based measure. We find that rising attention as proxied by Google search volume indices or Twitter tweet counts Granger-causes an increase in price synchronicity of Bitcoin, Ethereum, Litecoin, and Monero. Hence, attention, in particular to Bitcoin, is a major driver of cryptocurrency prices. Mass attention and the resulting retail investor herding lead to different cryptocurrency prices moving more synchronously.

Keywords: Realized correlation; Cryptocurrency; Attention; Google; Twitter; Bitcoin (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:51:y:2023:i:c:s154461232200650x

DOI: 10.1016/j.frl.2022.103474

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