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Narrative attention and related cryptocurrency returns

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  • Nguyen, Khanh Quoc
  • Nguyen, Thanh Huong
  • Do, Bao Linh

Abstract

We investigate the causal relationship between investor attention to prevailing narratives and the returns of narrative-related coins. We find that when a particular narrative gains prevalence, the returns of coins related to that narrative increase significantly. In turn, the higher price growth of coins attracts more investor attention and increases the search queries for the corresponding narrative. Our empirical results suggest that investors can use information on narrative attention to make investment decisions for narrative-related coins. Our research also helps to explain the recent rapid price growth of artificial intelligence-related cryptocurrencies, which is driven by the AI narrative, propelled by the success of ChatGPT.

Suggested Citation

  • Nguyen, Khanh Quoc & Nguyen, Thanh Huong & Do, Bao Linh, 2023. "Narrative attention and related cryptocurrency returns," Finance Research Letters, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005469
    DOI: 10.1016/j.frl.2023.104174
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    References listed on IDEAS

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    Cited by:

    1. Li, Scott & Ma, Judy, 2024. "The impact of sentiment and engagement of Twitter posts on cryptocurrency price movement," Finance Research Letters, Elsevier, vol. 65(C).

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    More about this item

    Keywords

    Cryptocurrencies; Cryptocurrency narrative; Investor attention; ChatGPT; AI;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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