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Consumer confidence and cryptocurrency excess returns: A three-factor model

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  • Peng, Sanshao
  • Shams, Syed
  • Prentice, Catherine
  • Sarker, Tapan

Abstract

This study examined the relation between consumer confidence and cryptocurrency excess returns using a three-factor model of market, size and momentum. We analysed a dataset comprising 3318 cryptocurrencies from 1 January 2014 to 31 December 2022 based on the CoinMarketCap website. Results indicate a significant negative relation between the United States Consumer Confidence Index and cryptocurrency excess returns. The findings were reinforced based on robustness tests. This study contributes to consumer behaviour research and financial management within the cryptocurrency market. It also provides valuable insights for investors to strengthen their investment portfolios and for relevant authorities seeking to formulate effective policies for monitoring the cryptocurrency market.

Suggested Citation

  • Peng, Sanshao & Shams, Syed & Prentice, Catherine & Sarker, Tapan, 2024. "Consumer confidence and cryptocurrency excess returns: A three-factor model," Global Finance Journal, Elsevier, vol. 62(C).
    • Handle: RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324001017
    DOI: 10.1016/j.gfj.2024.101029
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    More about this item

    Keywords

    Cryptocurrency returns; Consumer confidence; Factor model; Cryptocurrency size; Momentum factors;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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