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Comparing search-engine and social-media attentions in finance research: Evidence from cryptocurrencies
International Review of Economics & Finance ( IF 4.8 ) Pub Date : 2021-05-20 , DOI: 10.1016/j.iref.2021.05.003
Yue Li , John W. Goodell , Dehua Shen

There is considerable interest in the impact of investor attention on investment returns, especially for cryptocurrencies. However, previous research does not distinguish between search-engine attention and social-media forms of attention—even though this distinction is emphasized by marketing professionals. Professional marketers emphasize that attention is optimized by combinations of social-media and search-engine presence. We investigate the bi-directional causalities, and concomitant frequencies, between cryptocurrency returns and investor attention, comparing cryptocurrency sensitivity to Twitter tweets and the intensity of Google searches, as well as combinations of Twitter and Google. For 27 cryptocurrencies, we use a non-parametric wavelet Granger causality test to incorporate multiple time horizons. We also employ Diebold and Yilmaz spillover testing to assess respective pairwise influence between attention measures and respective cryptocurrencies. Results indicate a preponderance of bidirectional Granger causality for the great majority of cryptocurrencies, with the impact of Twitter on cryptocurrencies being shorter term. Consistent with expectations, we identify that bi-directional causalities, and spillovers, of cryptocurrencies with investor attention are significantly more evident for proxies of investor attention that are combinations of social media (Twitter) and search engine intensity (Google), rather than either one of these forms alone. Our results have applicability to a broad range of investor attention studies.



中文翻译:

比较搜索引擎和社交媒体在金融研究中的关注度:来自加密货币的证据

投资者的关注对投资回报的影响引起了极大的兴趣,尤其是对于加密货币。但是,以前的研究并未区分搜索引擎的注意力和社交媒体的注意力形式,尽管营销专业人员强调了这种区别。专业的营销人员强调,社交媒体和搜索引擎的存在可以优化注意力。我们研究了加密货币回报和投资者关注之间的双向因果关系以及伴随的频率,比较了加密货币对Twitter推文的敏感性和Google搜索的强度,以及Twitter和Google的组合。对于27种加密货币,我们使用非参数小波Granger因果关系检验来合并多个时间范围。我们还采用Diebold和Yilmaz溢出测试来评估注意措施和相应加密货币之间的成对影响。结果表明,绝大多数加密货币都具有双向Granger因果关系,其中Twitter对加密货币的影响是短期的。与期望相符,我们发现具有投资者关注的加密货币的双向因果关系和溢出效应在社交媒体(Twitter)和搜索引擎强度(Google)组合的投资者关注代理中更为明显,而不是二者之一仅这些形式中的一种。我们的结果适用于广泛的投资者关注研究。结果表明,绝大多数加密货币都具有双向Granger因果关系,其中Twitter对加密货币的影响是短期的。与期望相符,我们发现具有投资者关注的加密货币的双向因果关系和溢出效应在社交媒体(Twitter)和搜索引擎强度(Google)组合的投资者关注代理中更为明显,而不是二者之一仅这些形式中的一种。我们的结果适用于广泛的投资者关注研究。结果表明,绝大多数加密货币都具有双向Granger因果关系,其中Twitter对加密货币的影响是短期的。与期望相符,我们发现具有投资者关注的加密货币的双向因果关系和溢出效应在社交媒体(Twitter)和搜索引擎强度(Google)组合的投资者关注代理中更为明显,而不是二者之一仅这些形式中的一种。我们的结果适用于广泛的投资者关注研究。对于具有投资者关注度的加密货币而言,对于社交媒体(Twitter)和搜索引擎强度(Google)组合的投资者关注度的代理更为明显,而不仅仅是这些形式中的任何一种。我们的结果适用于广泛的投资者关注研究。对于具有投资者关注度的加密货币而言,对于社交媒体(Twitter)和搜索引擎强度(Google)组合的投资者关注度的代理更为明显,而不仅仅是这些形式中的任何一种。我们的结果适用于广泛的投资者关注研究。

更新日期:2021-05-24
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