This study examines the relationship between the price volatility of cryptocurrencies and investor attention. Using a large dataset of approximately 25 million tweets about 23 of the largest cryptocurrencies, I show that investor attention, as proxied by the number of tweets, retweets, and favorites, corresponds to greater cryptocurrency price volatility. I use a Vector Autoregression (VAR) framework to show that investor attention predicts future price volatility. Additionally, days on which investors are “distracted” because of attention-grabbing events correspond to lower price volatility in cryptocurrency markets. The results suggest that increased investor attention to cryptocurrencies has the undesirable effect of increasing price volatility.

本研究考察了加密货币价格波动与投资者注意力之间的关系。使用大约 2500 万条推文的大型数据集，大约 23 种最大的加密货币，我表明投资者的注意力，以推文、转发和收藏的数量为代表，对应于更大的加密货币价格波动。我使用向量自回归 (VAR) 框架来表明投资者的注意力可以预测未来的价格波动。此外，投资者因引人注目的事件而“分心”的日子对应于加密货币市场较低的价格波动。结果表明，投资者对加密货币的关注增加会增加价格波动的不良影响。