Retail vs institutional investor attention in the cryptocurrency market

Ozdamar M., Sensoy A., Akdeniz L.

Journal of International Financial Markets, Institutions and Money, vol.81, 2022 (SSCI) identifier

  • Publication Type: Article / Article
  • Volume: 81
  • Publication Date: 2022
  • Doi Number: 10.1016/j.intfin.2022.101674
  • Journal Name: Journal of International Financial Markets, Institutions and Money
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit
  • Keywords: Cryptocurrencies, Idiosyncratic risk, Institutional investor attention, Liquidity, Retail investor attention
  • TED University Affiliated: Yes

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.