Cryptocurrency price volatility and investor attention

【Author】 Al Guindy, Mohamed

【Source】INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

【影响因子】3.399

【Abstract】This study examines the relationship between the price volatility of cryptocurrencies and investor attention. Using a large dataset of approximately 25 million tweets about 23 of the largest cryptocurrencies, I show that investor attention, as proxied by the number of tweets, retweets, and favorites, corresponds to greater cryptocurrency price volatility. I use a Vector Autoregression (VAR) framework to show that investor attention predicts future price volatility. Additionally, days on which investors are "distracted" because of attention-grabbing events correspond to lower price volatility in cryptocurrency markets. The results suggest that increased investor attention to cryptocurrencies has the undesirable effect of increasing price volatility.

【Keywords】Cryptocurrencies; Bitcoin; Investor attention; Social media

【发表时间】2021 NOV

【收录时间】2022-01-01

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