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Quantile dependence between investor attention and cryptocurrency returns: evidence from time and frequency domain analyses

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  • Xianfang Su
  • Wenqiang Zhan
  • Yong Li

Abstract

This paper examines, in the time and frequency domains, the quantile dependence and directional predictability of investor attention to cryptocurrency returns. We find that there is significant tail dependence between investor attention and cryptocurrency returns. When market pays very high or very low attention to cryptocurrencies, there is an increased likelihood to have very large positive gains and suffer from very large negative results. Our results indicate that the quantile dependence between investor attention and cryptocurrency returns has a higher statistical significance in the long-term than medium-term and short-term. This implies that quantile dependence between investor attention and cryptocurrency returns is mainly dominated by low-frequency components. These findings have important implications for cryptocurrency investors.

Suggested Citation

  • Xianfang Su & Wenqiang Zhan & Yong Li, 2021. "Quantile dependence between investor attention and cryptocurrency returns: evidence from time and frequency domain analyses," Applied Economics, Taylor & Francis Journals, vol. 53(55), pages 6439-6471, November.
    • Handle: RePEc:taf:applec:v:53:y:2021:i:55:p:6439-6471
    DOI: 10.1080/00036846.2021.1940826
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    Cited by:

    1. Qingjie Zhou & Panpan Zhu & Yinpeng Zhang, 2023. "Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention," Energies, MDPI, vol. 16(2), pages 1-22, January.
    2. Yuichi Goto & Tobias Kley & Ria Van Hecke & Stanislav Volgushev & Holger Dette & Marc Hallin, 2021. "The Integrated Copula Spectrum," Working Papers ECARES 2021-29, ULB -- Universite Libre de Bruxelles.

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