Investor attention and cryptocurrency market liquidity: A double-edged sword

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buir.contributor.authorŞensoy, Ahmet
dc.citation.epage42en_US
dc.citation.spage1en_US
dc.contributor.authorYao, S.
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorNguyen, D. K.
dc.contributor.authorLi, T.
dc.date.accessioned2023-02-17T13:18:36Z
dc.date.available2023-02-17T13:18:36Z
dc.date.issued2022-09
dc.departmentDepartment of Managementen_US
dc.description.abstractThis paper explores the double-edged sword effect of investor attention on market liquidity. Based on the analysis on 597 cryptocurrencies from 2014 to 2020, our findings show that static investor attention improves cryptocurrency market liquidity over the next three months by attracting more investors into the market and stimulating buy and sell transactions. By contrast, abnormal attention persistently and negatively affects the liquidity and leads to excessive net buying pressure in the market and a crowded buyers’ market, resulting in a sharp deterioration of liquidity. Moreover, these effects intensify during low global economic policy uncertainty periods and for cryptocurrencies with small market capitalization and low idiosyncratic volatility. Overall, our results have important implications for investors, portfolio managers, and policymakers.en_US
dc.identifier.doi10.1007/s10479-022-04915-wen_US
dc.identifier.issn0254-5330
dc.identifier.urihttp://hdl.handle.net/11693/111533
dc.language.isoEnglishen_US
dc.publisherSpringeren_US
dc.relation.isversionofhttps://doi.org/10.1007/s10479-022-04915-wen_US
dc.source.titleAnnals of Operations Researchen_US
dc.subjectCryptocurrency marketsen_US
dc.subjectInvestor attentionen_US
dc.subjectInvestor trading behavioren_US
dc.subjectLiquidityen_US
dc.titleInvestor attention and cryptocurrency market liquidity: A double-edged sworden_US
dc.typeArticleen_US

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