Time-frequency analysis of cryptocurrency attention
Identifikátory výsledku
Kód výsledku v 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>
Nalezeny alternativní kódy
RIV/62156489:43110/23:43923429
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Time-frequency analysis of cryptocurrency attention
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Time-frequency analysis of cryptocurrency attention
Popis výsledku anglicky
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.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50200 - Economics and Business
Návaznosti výsledku
Projekt
—
Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2023
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Investment Analysts Journal
ISSN
1029-3523
e-ISSN
2077-0227
Svazek periodika
52
Číslo periodika v rámci svazku
4
Stát vydavatele periodika
US - Spojené státy americké
Počet stran výsledku
22
Strana od-do
313- 334
Kód UT WoS článku
000984792000001
EID výsledku v databázi Scopus
2-s2.0-85158937774