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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Investor attention and idiosyncratic risk in cryptocurrency markets |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published electronically before print/final form (Epub ahead of print) |
| Language |
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| Journal Title | The European journal of finance |
| Publisher | Taylor & Francis |
| Geographical Reach | international |
| ISSN | 1351-847X |
| Page Range | Epub ahead of print |
| Date | 2021 |
| Abstract Text | We explore the impact of investor attention on idiosyncratic risk in the cryptocurrency markets. Taking the Google Trends Index as the measure of investor attention, we find that investor attention can significantly reduce cryptocurrencies’ idiosyncratic risks by increasing the liquidity. We further study possible cross-sectional variations of the effect of investor attention on idiosyncratic risk. Evidence shows that the investor attention effect is more pronounced for smaller-cap and younger cryptocurrencies. Moreover, a relatively stable external market environment and rising market state are conducive to the further play of the attention effect. |
| Free access at | Official URL |
| Digital Object Identifier | 10.1080/1351847X.2021.1989008 |
| Other Identification Number | merlin-id:21949 |
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