Investor attention and idiosyncratic risk in cryptocurrency markets

【Author】 Yao, Shouyu; Kong, Xiaoran; Sensoy, Ahmet; Akyildirim, Erdinc; Cheng, Feiyang

【Source】EUROPEAN JOURNAL OF FINANCE

【影响因子】1.903

【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.

【Keywords】Cryptocurrency; investor attention; idiosyncratic risk; liquidity

【发表时间】

【收录时间】2022-01-01

【文献类型】期刊

【主题类别】

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