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Ozdamar, Melisa; Sensoy, Ahmet; Akdeniz, Levent
Journal of international financial markets, institutions & money, November 2022, 2022-11-00, Volume: 81Journal Article
We investigate the impact of retail vs institutional investor attention on returns, idiosyncratic risk and liquidity of the cryptocurrency market. Accordingly, retail (institutional) investor attention has a negative (positive) effect on cryptocurrency returns. Moreover, retail (institutional) investor attention aggravates (constrains) the idiosyncratic risk whereas both type of attention boost liquidity of the cryptocurrency market. However, only retail investor attention exacerbates idiosyncratic volatility in unstable market conditions whereas it has a constructive effect on liquidity in low global economic policy uncertainty. Furthermore, institutional investor attention has a constructive impact on both idiosyncratic risk and liquidity within relatively stable and rising external market environment. •We use twitter posts to construct a retail investor attention index.•We use Bloomberg story counts via news trend function to construct an institutional investor attention index.•Retail (institutional) investor attention aggravates (constrains) the idiosyncratic risk whereas both type of attention boost liquidity of the cryptocurrency market.•Retail investor attention exacerbates idiosyncratic volatility in unstable market conditions whereas it has a constructive effect on liquidity in low global economic policy uncertainty.•Institutional investor attention has a constructive impact on both idiosyncratic risk and liquidity within relatively stable and rising external market environment.
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