Investor attention and idiosyncratic risk in cryptocurrency markets
研究发现投资者关注通过提升流动性显著降低加密货币的特质风险，且对小市值和较新的加密货币影响更大，稳定或上升的市场环境有助于该效应发挥。
We explore the impact of investor attention on idiosyncratic risk in the cryptocurrency markets. Taking the Google Trends Index as the measure of investor attention, we find that investor attention can significantly reduce cryptocurrencies’ idiosyncratic risks by increasing the liquidity. We further study possible cross-sectional variations of the effect of investor attention on idiosyncratic risk. Evidence shows that the investor attention effect is more pronounced for smaller-cap and younger cryptocurrencies. Moreover, a relatively stable external market environment and rising market state are conducive to the further play of the attention effect.