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Investor attention in cryptocurrency markets

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  • Smales, L.A.

Abstract

We examine the relationship between investor attention, and measures of uncertainty, with the market dynamics of Bitcoin and other cryptocurrencies. We find that increases in investor attention are associated with higher returns, more volatility, and greater illiquidity in cryptocurrency markets. In contrast, cryptocurrency uncertainty (UCRY) and financial market uncertainty (VIX) are also positively related to volatility and illiquidity but have a negative contemporaneous relationship with returns. The identified relationships are accentuated during the COVID-pandemic, and are robust to different measures of investor attention, volatility, and illiquidity. Our results suggest that monitoring investor attention could assist both investors and policymakers.

Suggested Citation

  • Smales, L.A., 2022. "Investor attention in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:finana:v:79:y:2022:i:c:s105752192100288x
    DOI: 10.1016/j.irfa.2021.101972
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    More about this item

    Keywords

    Cryptocurrency; Investor attention; Uncertainty; Bitcoin; Google search volume;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General

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