Is online investor attention priced in cryptocurrency markets?

Date
2023-08
Advisor
Şensoy, Ahmet
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
Print ISSN
Electronic ISSN
Publisher
Bilkent University
Volume
Issue
Pages
Language
English
Type
Thesis
Journal Title
Journal ISSN
Volume Title
Series
Abstract

This study examines the relationship between investor attention on online platforms and cryptocurrency returns. Using a dataset from Twitter, Reddit, and Google Trends for the ten largest cryptocurrencies, I constructed an Investor Attention Index by employing Principal Component Analysis. Using linear regression, vector autoregression and a long-short portfolio methods, I explore the link between investor attention and returns. The results suggest that the attention index is not able to explain crypto returns, however, the inverse relationship is found to be highly significant. This finding may be interpreted as cryptocurrencies being already priced by the time they become popular on online platforms, hence the retail investor attention represented by the data is not a factor that affects the prices of crypto assets.

Course
Other identifiers
Book Title
Keywords
Investor attention, Online engagement, Cryptocurrency returns, Vector Autoregressive (VAR), Model Principal Component Analysis (PCA)
Citation
Published Version (Please cite this version)