Abstract
We study how retail investor attention influences the joint evolution of cryptocurrency prices. The co-movement is measured using realized correlation and a R2-based measure. We find that rising attention as proxied by Google search volume indices or Twitter tweet counts Granger-causes an increase in price synchronicity of Bitcoin, Ethereum, Litecoin, and Monero. Hence, attention, in particular to Bitcoin, is a major driver of cryptocurrency prices. Mass attention and the resulting retail investor herding lead to different cryptocurrency prices moving more synchronously.
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