Investor attention and cryptocurrency performance
This paper investigates the causal relation between the performance of several cryptocurrencies and investor attention by employing Granger Causality tests and Vector Autoregression (VAR) models to examine such a relation. The findings show that interaction effects exist between returns and attention when I use Granger Causality tests, but when using VAR models, past cryptocurrency returns present a significant effect on future attention and weak reverse results. Thus, I hypothesize that if a cryptocurrency has higher past performance, then investors may pay more attention to it. After controlling the effect of economy-wide variables, I still find that past cryptocurrency returns significantly impact future attention.
Keywords: Investor attention Cryptocurrency returns Google search probability Vector autoregression