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Investor attention and the pricing of cryptocurrency market

Author

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  • Wei Zhang

    (Tianjin University)

  • Pengfei Wang

    (Tianjin University)

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.

Suggested Citation

  • Wei Zhang & Pengfei Wang, 2020. "Investor attention and the pricing of cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 445-468, July.
    • Handle: RePEc:spr:eaiere:v:17:y:2020:i:2:d:10.1007_s40844-020-00182-1
    DOI: 10.1007/s40844-020-00182-1
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    3. Xun Zhang & Fengbin Lu & Rui Tao & Shouyang Wang, 2021. "The time-varying causal relationship between the Bitcoin market and internet attention," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-19, December.
    4. Kingstone Nyakurukwa & Yudhvir Seetharam, 2023. "Beyond the hype: examining the relationship between Wikipedia attention and realised skewness for crypto assets," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-12, September.
    5. Mustafa Tevfik Kartal & Mustafa Kevser & Fatih Ayhan, 2023. "Asymmetric effects of global factors on return of cryptocurrencies by novel nonlinear quantile approaches," Economic Change and Restructuring, Springer, vol. 56(3), pages 1515-1535, June.
    6. Ramona ORĂȘTEAN & Silvia Cristina MĂRGINEAN & Raluca SAVA, 2024. "Exploring The Relationship Between Google Trends And Cryptocurrency Metrics," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 19(1), pages 368-379, April.
    7. Tong, Zezheng & Goodell, John W. & Shen, Dehua, 2022. "Assessing causal relationships between cryptocurrencies and investor attention: New results from transfer entropy methodology," Finance Research Letters, Elsevier, vol. 50(C).
    8. Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W. & Mahapatra, Biplab, 2024. "Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period," Finance Research Letters, Elsevier, vol. 59(C).
    9. Li, Yi & Zhang, Wei & Urquhart, Andrew & Wang, Pengfei, 2022. "The role of media coverage in the bubble formation: Evidence from the Bitcoin market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    10. Amin Izadyar & Shiva Zamani, 2022. "Investor base and idiosyncratic volatility of cryptocurrencies," Papers 2211.13274, arXiv.org.
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    More about this item

    Keywords

    Investor attention; Cryptocurrency market; Linear and nonlinear causality; Google Trends; Hash algorithm; Quantile regression;
    All these keywords.

    JEL classification:

    • 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

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