Too much is too bad: The effect of media coverage on the price volatility of cryptocurrencies

【Author】 Lee, Kangsan; Jeong, Daeyoung

【Source】JOURNAL OF INTERNATIONAL MONEY AND FINANCE

【影响因子】2.762

【Abstract】This study investigates the influence of information excess due to the increased media cov-erage on the price volatility of cryptocurrencies. News coverages may serve as either sig-nals or noise in cryptocurrency markets characterized by an insufficient understanding of the fundamental value of assets and a high level of strategic complementarity. In a game-theoretic model, we show that the number of news coverages, either related or unre-lated to the fundamentals, increases the price volatility of assets in a nascent financial mar-ket. We tested our hypotheses using a unique dataset of 358,118 observations of 500 cryptocurrencies and 36,572 media coverages between 2014 and 2017, the early period of cryptocurrency with the rise of public attention. The results show that cryptocurrency price volatility increases in the number of unrelated news for both major and minor coins. The volatility even increases with the number of related news in minor coins. These results have important implications for investors and entrepreneurs about the effect of misinfor-mation in nascent markets.(c) 2023 Elsevier Ltd. All rights reserved.

【Keywords】Price volatility; Media coverage; Strategic complementarity; Nascent market; Cryptocurrency

【发表时间】2023 MAY

【收录时间】2023-04-13

【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