Time-frequency analysis of cryptocurrency attention

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F23%3A10253037" target="_blank" >RIV/61989100:27510/23:10253037 - isvavai.cz</a>
Alternative codes found
RIV/62156489:43110/23:43923429
Result on the web
<a href="https://www.tandfonline.com/doi/full/10.1080/10293523.2023.2198755" target="_blank" >https://www.tandfonline.com/doi/full/10.1080/10293523.2023.2198755</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/10293523.2023.2198755" target="_blank" >10.1080/10293523.2023.2198755</a>

Result language
angličtina
Original language name
Time-frequency analysis of cryptocurrency attention
Original language description
We present a wavelet analysis of retail investor attention and the daily returns of Bitcoin, Ethereum, and Litecoin at five selected crypto exchanges that identifies the fractal dynamics of the short- and long-term persistent processes. The investors' attention is proxied by the Search Volume Index provided by Google at daily frequency. We detect significant temporal cyclical movements and coherence between cryptocurrency returns and retail investor attention at long investment horizons: from the beginning of 2017 to the middle of 2018 and, to a lesser degree, in 2019. Investment horizons that dominated in 2017 and 2018 were mainly driven by retail investor attention rather than by uncertainty, risk, or stock markets. Therefore, we do not confirm that cryptocurrencies can be considered a safe-haven asset in times of crisis because there is no significant negative comovement between the returns of cryptocurrencies and stock returns or economic uncertainty. Furthermore, the phase shift analysis indicates that attention can serve as a leading indicator for the cryptocurrency returns, particularly in 2017 and 2018. Therefore, retail investors are encouraged to use the Search Volume Index as an early warning indicator in case of sudden changes in the cryptocurrency returns to maximise profits or minimise losses.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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