Investor base and idiosyncratic volatility of cryptocurrencies

Amin Izadyar and Shiva Zamani

Papers from arXiv.org

Abstract: This paper investigates how changes in investor base is related to idiosyncratic volatility in cryptocurrency markets. For each cryptocurrency, we set change in its subreddit followers as a proxy for the change in its investor base, and find out that the latter can significantly increase cryptocurrencies idiosyncratic volatility. This finding is not subsumed by effects of size, momentum, liquidity and volume and is robust to various measures of idiosyncratic volatility.

Date: 2022-11
New Economics Papers: this item is included in nep-pay and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2211.13274

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