Investor attention and idiosyncratic risk in cryptocurrency markets

Shouyu Yao, Xiaoran Kong, Ahmet Sensoy, Erdinc Akyildirim and Feiyang Cheng

The European Journal of Finance, 2024, vol. 30, issue 16, 1932-1950

Abstract: We explore the impact of investor attention on idiosyncratic risk in the cryptocurrency markets. Taking the Google Trends Index as the measure of investor attention, we find that investor attention can significantly reduce cryptocurrencies’ idiosyncratic risks by increasing the liquidity. We further study possible cross-sectional variations of the effect of investor attention on idiosyncratic risk. Evidence shows that the investor attention effect is more pronounced for smaller-cap and younger cryptocurrencies. Moreover, a relatively stable external market environment and rising market state are conducive to the further play of the attention effect.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/1351847X.2021.1989008 (text/html)
Access to full text is restricted to subscribers.

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:taf:eurjfi:v:30:y:2024:i:16:p:1932-1950

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20

DOI: 10.1080/1351847X.2021.1989008

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().