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      Retail vs institutional investor attention in the cryptocurrency market

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      Embargo Lift Date: 2024-10-10
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      Author(s)
      Özdamar, Melisa
      Şensoy, Ahmet
      Akdeniz, L.
      Date
      2022-10-10
      Source Title
      Journal of International Financial Markets, Institutions and Money
      Print ISSN
      1042-4431
      Electronic ISSN
      1873-0612
      Publisher
      Elsevier BV
      Volume
      81
      Pages
      101674- 1 - 101674- 22
      Language
      English
      Type
      Article
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      Abstract
      We investigate the impact of retail vs institutional investor attention on returns, idiosyncratic risk and liquidity of the cryptocurrency market. Accordingly, retail (institutional) investor attention has a negative (positive) effect on cryptocurrency returns. Moreover, retail (institutional) investor attention aggravates (constrains) the idiosyncratic risk whereas both type of attention boost liquidity of the cryptocurrency market. However, only retail investor attention exacerbates idiosyncratic volatility in unstable market conditions whereas it has a constructive effect on liquidity in low global economic policy uncertainty. Furthermore, institutional investor attention has a constructive impact on both idiosyncratic risk and liquidity within relatively stable and rising external market environment.
      Keywords
      Cryptocurrencies
      Retail investor attention
      Institutional investor attention
      Idiosyncratic risk
      Liquidity
      Permalink
      http://hdl.handle.net/11693/111497
      Published Version (Please cite this version)
      https://doi.org/10.1016/j.intfin.2022.101674
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      • Department of Management 639
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