Retail vs institutional investor attention in the cryptocurrency market

Date
2022-10-10
Advisor
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Source Title
Journal of International Financial Markets, Institutions and Money
Print ISSN
1042-4431
Electronic ISSN
1873-0612
Publisher
Elsevier BV
Volume
81
Issue
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.

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Keywords
Cryptocurrencies, Retail investor attention, Institutional investor attention, Idiosyncratic risk, Liquidity
Citation
Published Version (Please cite this version)