Investor attention and cryptocurrency: Evidence from wavelet-based quantile Granger causality analysis

Rong Li, Sufang Li, Di Yuan and Huiming Zhu

Research in International Business and Finance, 2021, vol. 56, issue C

Abstract: This paper investigates the relationship between investor attention and the major cryptocurrency markets by wavelet-based quantile Granger causality. The wavelet analysis illustrates the interdependence between investor attention and the cryptocurrency returns. Multi-scale quantile Granger causality based on wavelet decomposition further demonstrates bidirectional Granger causality between investor attention and the returns of Bitcoin, Ethereum, Ripple and Litecoin for all quantiles, except for the medium. Among them, the Granger causality from investor attention to the returns is relatively very weak for Ethereum. In the short term, the Granger causality from these cryptocurrency returns to investor attention seems symmetric, but in the medium- and long- term, the causality shows some asymmetry. The Granger causality from investor attention to these cryptocurrency returns is asymmetric and varies across cryptocurrencies and time scales. Specifically, investor attention has a relatively stronger impact on the cryptocurrency returns in bearish markets than that in bullish markets in the short term.

Keywords: Cryptocurrency; Investor attention; Granger causality; Wavelet; Quantile regression (search for similar items in EconPapers)
JEL-codes: C12 C22 G11 G40 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:56:y:2021:i:c:s0275531921000106

DOI: 10.1016/j.ribaf.2021.101389

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