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Investor base and idiosyncratic volatility of cryptocurrencies

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  • Amin Izadyar
  • Shiva Zamani

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.

Suggested Citation

  • Amin Izadyar & Shiva Zamani, 2022. "Investor base and idiosyncratic volatility of cryptocurrencies," Papers 2211.13274, arXiv.org.
    • Handle: RePEc:arx:papers:2211.13274
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    References listed on IDEAS

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