Istituto di Economia Internazionale - Cryptocurrencies: The Role of Investor Attention (Forthcoming in Issue 4, November 2026: “Emerging Risks, Innovation and Regulatory Developments in International Banking”)

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Corresponding Author:
Meryem Oncul Oral, Essex Business School, University of Essex, Colchester, United Kingdom

Coauthors:
Chiara Banti, Essex Business School, University of Essex, Colchester, United Kingdom
Neil M. Kellard, Essex Business School, University of Essex, Colchester, United Kingdom

Cryptocurrencies: The Role of Investor Attention (Forthcoming in Issue 4, November 2026: “Emerging Risks, Innovation and Regulatory Developments in International Banking”)

September 18, 2026
JEL classification: G12; G41
Keywords: Cryptocurrency Returns; Investor Attention; Google Search Volume Index; Predictability

Abstract

This study examines the relationship between investor attention, and the six major cryptocurrency returns by market capitalization from 2017 to 2022. Employing two measures for investor attention based on Google search volume index and raw Wikipedia searches, we test the predictive power of investor attention in different time periods, focusing on the periods before and after 2020. The period before 2020 presented relatively smooth price movements, whereas subsequently, and concurrent with the Covid-19 pandemic, monetary policy changes and a crypto ‘winter’, dynamics were more volatile. Our results show that Google search volume index typically presents more predictability than Wikipedia searches. Moreover, results also reveal that given increased volatility, the relation between cryptocurrency returns and Google search volume index has weakened over time.

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Cryptocurrencies: The Role of Investor Attention (Forthcoming in Issue 4, November 2026: “Emerging Risks, Innovation and Regulatory Developments in International Banking”)

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