Investor attention and the pricing of cryptocurrency market

Wei Zhang and Pengfei Wang ()
Additional contact information
Wei Zhang: Tianjin University
Pengfei Wang: Tianjin University

Evolutionary and Institutional Economics Review, 2020, vol. 17, issue 2, No 11, 445-468

Abstract: Abstract This paper examines the underlying relationship between investor attention measured by Google Trends and the top twenty cryptocurrencies from April 2013 to April 2018. We show the bi-directional Granger causality between investor attention and cryptocurrencies (i.e., return and volatility), which is supported by linear and nonlinear Granger causality tests. The quantile regression indicates that the high investor attention is always associated with the positive return. In the overall regression analysis based on the hash algorithm, the investor’s attention can significantly predict the return and return volatility. These findings show that investor attention significantly predicts cryptocurrencies, which provide implications for cryptocurrency investors.

Keywords: Investor attention; Cryptocurrency market; Linear and nonlinear causality; Google Trends; Hash algorithm; Quantile regression (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://link.springer.com/10.1007/s40844-020-00182-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eaiere:v:17:y:2020:i:2:d:10.1007_s40844-020-00182-1

Ordering information: This journal article can be ordered from
https://www.springer ... theory/journal/40844

DOI: 10.1007/s40844-020-00182-1

Access Statistics for this article

Evolutionary and Institutional Economics Review is currently edited by Kiichiro Yagi, Yuji Aruka and Takahiro Fujimoto

More articles in Evolutionary and Institutional Economics Review from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().