Google search and cross-section of cryptocurrency returns and trading activities

【Author】 Hoang, Lai; Vo, Duc Hong

【Source】JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE

【影响因子】8.222

【Abstract】This paper examines the effect of investor attention on the cross-section of cryptocurrency returns and trading activities. We find that cryptocurrencies associated with higher abnormal Google search volume subsequently exhibit higher returns, higher volatility, and higher trading volume. The results are robust to alternative sample periods and alternative search keywords, providing concrete support to the attention-induced price pressure hypothesis and consistent with prior studies on the equity market. The effect is more pronounced among larger cryptocurrencies. Only a partial reversal after the initial return increase is observed, implying that investor attention permanently impacts cryptocurrency prices.

【Keywords】Google search volume; cryptocurrency; price pressure hypothesis; investor attention

【发表时间】2024 DEC

【收录时间】2024-10-19

【文献类型】案例研究

【主题类别】

区块链治理-市场治理-市场分析