This paper investigates the relationship between investor attention and the major cryptocurrency markets by wavelet-based quantile Granger causality. The wavelet analysis illustrates the interdependence between investor attention and the cryptocurrency returns. Multi-scale quantile Granger causality based on wavelet decomposition further demonstrates bidirectional Granger causality between investor attention and the returns of Bitcoin, Ethereum, Ripple and Litecoin for all quantiles, except for the medium. Among them, the Granger causality from investor attention to the returns is relatively very weak for Ethereum. In the short term, the Granger causality from these cryptocurrency returns to investor attention seems symmetric, but in the medium- and long- term, the causality shows some asymmetry. The Granger causality from investor attention to these cryptocurrency returns is asymmetric and varies across cryptocurrencies and time scales. Specifically, investor attention has a relatively stronger impact on the cryptocurrency returns in bearish markets than that in bullish markets in the short term.

本文通过基于小波的分位数Granger因果关系研究了投资者注意力与主要加密货币市场之间的关系。小波分析说明了投资者注意力与加密货币回报之间的相互依赖关系。基于小波分解的多尺度分位数Granger因果关系进一步证明了投资者注意与所有分位数以外的所有分位数的比特币，以太坊，Ripple和Litecoin回报之间的双向Granger因果关系。其中，以太坊从投资者关注到回报的格兰杰因果关系相对非常弱。从短期来看，从这些加密货币收益到投资者关注的格兰杰因果关系似乎是对称的，但是从中长期来看，因果关系表现出某种不对称性。从投资者的关注到这些加密货币收益的格兰杰因果关系是不对称的，并且在加密货币和时间范围内变化。具体而言，短期内投资者的关注对看跌市场中的加密货币回报产生的影响要比看涨市场中的影响更大。