Dynamic Relationship of Cryptocurrency Prices and Investor Attention

24 Pages Posted: 12 Feb 2019

See all articles by Pedro Piccoli

Pedro Piccoli

Universidade Católica do Paraná (Universidade Católica do Paraná)

Mo Chaudhury

McGill University - Desautels Faculty of Management

Date Written: February 1, 2019

Abstract

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

Suggested Citation

Piccoli, Pedro and Chaudhury, Mo, Dynamic Relationship of Cryptocurrency Prices and Investor Attention (February 1, 2019). Available at SSRN: https://ssrn.com/abstract=3327232 or http://dx.doi.org/10.2139/ssrn.3327232

Pedro Piccoli (Contact Author)

Universidade Católica do Paraná (Universidade Católica do Paraná) ( email )

Curitiba
Brazil

Mo Chaudhury

McGill University - Desautels Faculty of Management ( email )

1001 Sherbrooke St. West
Montreal, Quebec H3A 1G5
Canada
(514) 398-5927 (Phone)
(514) 398-3876 (Fax)

HOME PAGE: http://www.mcgill.ca/desautels/mo-chaudhury

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