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

Yitong Hu, Dehua Shen and Andrew Urquhart

International Review of Economics & Finance, 2023, vol. 88, issue C, 1173-1185

Abstract: 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.

Keywords: Attention allocation; Investor attention; Return co-movement; Asymmetric effect; Cryptocurrency market (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:88:y:2023:i:c:p:1173-1185

DOI: 10.1016/j.iref.2023.07.068

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