Consumer confidence and cryptocurrency excess returns: A three-factor model

Sanshao Peng, Syed Shams, Catherine Prentice and Tapan Sarker

Global Finance Journal, 2024, vol. 62, issue C

Abstract: This study examined the relation between consumer confidence and cryptocurrency excess returns using a three-factor model of market, size and momentum. We analysed a dataset comprising 3318 cryptocurrencies from 1 January 2014 to 31 December 2022 based on the CoinMarketCap website. Results indicate a significant negative relation between the United States Consumer Confidence Index and cryptocurrency excess returns. The findings were reinforced based on robustness tests. This study contributes to consumer behaviour research and financial management within the cryptocurrency market. It also provides valuable insights for investors to strengthen their investment portfolios and for relevant authorities seeking to formulate effective policies for monitoring the cryptocurrency market.

Keywords: Cryptocurrency returns; Consumer confidence; Factor model; Cryptocurrency size; Momentum factors (search for similar items in EconPapers)
JEL-codes: C58 E32 E44 G14 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324001017

DOI: 10.1016/j.gfj.2024.101029

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