Impact of cryptocurrency actors' attention on cryptocurrency performance with a focus on China

Shi, Yanghua

Document Type:	Conference presentation
Year of publication:	2023
Conference title:	Behavioural Finance Working Group 16th Annual Conference: Finance in a High-Inflation Post-COVID World
Location of the conference venue:	London, UK
Date of the conference:	12.-13.06.2023
Related URLs:	https://www.behaviouralfinance.org/wp-co... https://www.behaviouralfinance.org/previ...
Publication language:	English
Institution:	Business School > ABWL u. Finanzierung (Theissen 2009-)
Subject:	330 Economics
Keywords (English):	investor attention , cryptocurrency , China's cryptocurrency ban
Abstract:	This paper presents a novel method of predicting cryptocurrency returns using daily variables derived from Baidu Indices, such as mobile and PC search volume. With a unique data set obtained by aggregating Baidu indices from different regions, this study attempts to predict cryptocurrency returns while controlling for economy-wide variables. The study finds that Baidu Indices are better predictors than alternatives before China's crackdown on crytocurrency in 2021, highlighting the importance of China's cryptocurrency market before the ban. Additionally, the paper sheds light on the impact of regulatory shocks on cryptocurrency markets and demonstrates how Baidu Indices can be used to analyze behavioral changes in cryptocurrency actors. Overall, this study offers a unique approach to predicting cryptocurrency returns and provides valuable insights into financial market actors' behavioral characteristics.