Do online message boards convey cryptocurrency-specific information?

Dehua Shen, Zezheng Tong and John W. Goodell

International Review of Financial Analysis, 2024, vol. 91, issue C

Abstract: We investigate whether internet message boards convey cryptocurrency-specific information. Using an event study approach and choosing idiosyncratic volatility and price synchronicity as the proxies for cryptocurrency-specific return variation, we find that: idiosyncratic volatility (price synchronicity) significantly decreases (increases) after the message board opening events. In addition, the reverse changing trends of idiosyncratic volatility and price synchronicity confirm a cryptocurrency-specific information diffusion effect, in which increases of information channels lead to more information being conveyed, hence improving the information efficiency of the cryptocurrency market. Findings are robust to alternative model specifications, alternative online message boards, placebo testing, and a staggered difference-in-differences approach. These findings should be of great interest to practitioner in quantitative trading as well as to scholars interested in asset pricing.

Keywords: Internet message boards; Cryptocurrency-specific return variation; Idiosyncratic volatility; Price synchronicity (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004660

DOI: 10.1016/j.irfa.2023.102950

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