Attention allocation and cryptocurrency return co-movement: Evidence from the stock market

【Author】 Hu, Yitong; Shen, Dehua; Urquhart, Andrew

【Source】INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

【影响因子】3.399

【Abstract】We employ extreme S & P500 returns as an attention-distraction shock event to explore the impact of investor attention allocation on the return co-movement with cryptocurrency markets. We find that the occurrence of extreme S & P500 returns distracts investor attention away from cryptocurrency markets and this shock event increases the return co-movement within cryptocurrency markets. Further, the effect is asymmetric, with a negative return shock having a greater impact on the return co-movement than a positive return shock. Our findings are beneficial to investors, as well as to researchers who are interested in investor attention allocation, return co-movement and cryptocurrencies.

【Keywords】Attention allocation; Investor attention; Return co-movement; Asymmetric effect; Cryptocurrency market

【发表时间】2023 NOV

【收录时间】2023-09-01

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