Narrative attention and related cryptocurrency returns

Khanh Quoc Nguyen, Thanh Huong Nguyen and Bao Linh Do

Finance Research Letters, 2023, vol. 56, issue C

Abstract: We investigate the causal relationship between investor attention to prevailing narratives and the returns of narrative-related coins. We find that when a particular narrative gains prevalence, the returns of coins related to that narrative increase significantly. In turn, the higher price growth of coins attracts more investor attention and increases the search queries for the corresponding narrative. Our empirical results suggest that investors can use information on narrative attention to make investment decisions for narrative-related coins. Our research also helps to explain the recent rapid price growth of artificial intelligence-related cryptocurrencies, which is driven by the AI narrative, propelled by the success of ChatGPT.

Keywords: Cryptocurrencies; Cryptocurrency narrative; Investor attention; ChatGPT; AI (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005469

DOI: 10.1016/j.frl.2023.104174

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