Dynamic Relationship of Cryptocurrency Prices and Investor Attention
24 Pages Posted: 12 Feb 2019
Date Written: February 1, 2019
The dynamics of cryptocurrency prices and on-line search about them during the 2016-2018 period reveals a direct/positive mutual feedback relationship during the bubble formation phase that weakened considerably when the prices started to fall. This behavior is prevalent for Bitcoin and Etherereum, but not for Ripple and Euro that did not experience a bubble. The results in this paper indicate that the attention of noise traders (mostly retail investors) likely played an important role in the rapid rise and fall of the major two cryptocurrencies.
Keywords: Bitcoin, Cryptocurrency, Bubble, Noise Trader, Google Trend
JEL Classification: G40, G41, D90, D91, F31
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