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Attention and retail investor herding in cryptocurrency markets

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  • Koch, Sophia
  • Dimpfl, Thomas

Abstract

We study how retail investor attention influences the joint evolution of cryptocurrency prices. The co-movement is measured using realized correlation and a R2-based measure. We find that rising attention as proxied by Google search volume indices or Twitter tweet counts Granger-causes an increase in price synchronicity of Bitcoin, Ethereum, Litecoin, and Monero. Hence, attention, in particular to Bitcoin, is a major driver of cryptocurrency prices. Mass attention and the resulting retail investor herding lead to different cryptocurrency prices moving more synchronously.

Suggested Citation

  • Koch, Sophia & Dimpfl, Thomas, 2023. "Attention and retail investor herding in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 51(C).
    • Handle: RePEc:eee:finlet:v:51:y:2023:i:c:s154461232200650x
    DOI: 10.1016/j.frl.2022.103474
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    References listed on IDEAS

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