Google search and cross-section of cryptocurrency returns and trading activities

Lai Hoang and Duc Hong Vo

Journal of Behavioral and Experimental Finance, 2024, vol. 44, issue C

Abstract: This paper examines the effect of investor attention on the cross-section of cryptocurrency returns and trading activities. We find that cryptocurrencies associated with higher abnormal Google search volume subsequently exhibit higher returns, higher volatility, and higher trading volume. The results are robust to alternative sample periods and alternative search keywords, providing concrete support to the attention-induced price pressure hypothesis and consistent with prior studies on the equity market. The effect is more pronounced among larger cryptocurrencies. Only a partial reversal after the initial return increase is observed, implying that investor attention permanently impacts cryptocurrency prices.

Keywords: Google search volume; cryptocurrency; price pressure hypothesis; investor attention (search for similar items in EconPapers)
JEL-codes: G12 G15 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:44:y:2024:i:c:s2214635024001060

DOI: 10.1016/j.jbef.2024.100991

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