Attention allocation and cryptocurrency return co-movement: evidence from the stock market

Hu, Y., Shen, D. and Urquhart, A. ORCID: https://orcid.org/0000-0001-8834-4243 (2023) Attention allocation and cryptocurrency return co-movement: evidence from the stock market. International Review of Economics & Finance, 88. pp. 1173-1185. ISSN 1059-0560 doi: 10.1016/j.iref.2023.07.068

Abstract/Summary

We employ extreme S&P500 returns as an attention-distraction shock event to explore the impact of investor attention allocation on the return co-movement with cryptocurrency markets. We find that the occurrence of extreme S&P500 returns distracts investor attention away from cryptocurrency markets and this shock event increases the return co-movement within cryptocurrency markets. Further, the effect is asymmetric, with a negative return shock having a greater impact on the return co-movement than a positive return shock. Our findings are beneficial to investors, as well as to researchers who are interested in investor attention allocation, return co-movement and cryptocurrencies.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/112829
Identification Number/DOI	10.1016/j.iref.2023.07.068
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Elsevier
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