Retail vs institutional investor attention in the cryptocurrency market

Melisa Ozdamar, Ahmet Sensoy and Levent Akdeniz

Journal of International Financial Markets, Institutions and Money, 2022, vol. 81, issue C

Abstract: We investigate the impact of retail vs institutional investor attention on returns, idiosyncratic risk and liquidity of the cryptocurrency market. Accordingly, retail (institutional) investor attention has a negative (positive) effect on cryptocurrency returns. Moreover, retail (institutional) investor attention aggravates (constrains) the idiosyncratic risk whereas both type of attention boost liquidity of the cryptocurrency market. However, only retail investor attention exacerbates idiosyncratic volatility in unstable market conditions whereas it has a constructive effect on liquidity in low global economic policy uncertainty. Furthermore, institutional investor attention has a constructive impact on both idiosyncratic risk and liquidity within relatively stable and rising external market environment.

Keywords: Cryptocurrencies; Retail investor attention; Institutional investor attention; Idiosyncratic risk; Liquidity (search for similar items in EconPapers)
JEL-codes: C51 D82 G12 G15 G40 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001469

DOI: 10.1016/j.intfin.2022.101674

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