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

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance Pub Date : 2024-09-26 DOI:10.1016/j.jbef.2024.100991

Lai Hoang , Duc Hong Vo

引用次数: 0

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.

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谷歌搜索与加密货币回报和交易活动的横截面

本文研究了投资者关注度对加密货币收益和交易活动横截面的影响。我们发现，与较高的谷歌异常搜索量相关联的加密货币随后表现出较高的回报率、较高的波动性和较高的交易量。这些结果对替代样本期和替代搜索关键词都是稳健的，为注意力引发的价格压力假说提供了具体支持，并与之前对股票市场的研究相一致。这种效应在规模较大的加密货币中更为明显。在最初的回报率上升之后，只观察到了部分反转，这意味着投资者的注意力对加密货币的价格产生了永久性的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.