Investor attention and the pricing of cryptocurrency market

Abstract

This paper examines the underlying relationship between investor attention measured by Google Trends and the top twenty cryptocurrencies from April 2013 to April 2018. We show the bi-directional Granger causality between investor attention and cryptocurrencies (i.e., return and volatility), which is supported by linear and nonlinear Granger causality tests. The quantile regression indicates that the high investor attention is always associated with the positive return. In the overall regression analysis based on the hash algorithm, the investor’s attention can significantly predict the return and return volatility. These findings show that investor attention significantly predicts cryptocurrencies, which provide implications for cryptocurrency investors.