Retail vs institutional investor attention in the cryptocurrency market

【Author】 Ozdamar, Melisa; Sensoy, Ahmet; Akdeniz, Levent

【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

【影响因子】4.217

【Abstract】We investigate the impact of retail vs institutional investor attention on returns, idiosyncratic risk and liquidity of the cryptocurrency market. Accordingly, retail (institutional) investor atten-tion has a negative (positive) effect on cryptocurrency returns. Moreover, retail (institutional) investor attention aggravates (constrains) the idiosyncratic risk whereas both type of attention boost liquidity of the cryptocurrency market. However, only retail investor attention exacerbates idiosyncratic volatility in unstable market conditions whereas it has a constructive effect on liquidity in low global economic policy uncertainty. Furthermore, institutional investor attention has a constructive impact on both idiosyncratic risk and liquidity within relatively stable and rising external market environment.

【Keywords】Cryptocurrencies; Retail investor attention; Institutional investor attention; Idiosyncratic risk; Liquidity

【发表时间】2022 NOV

【收录时间】2022-11-14

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析