Does investor attention matter? The attention-return relationships in FX markets

Han, Liyan; Xu, Yang; Yin, Libo

doi:10.1016/j.econmod.2017.06.015

Cited by 41 publications

(45 citation statements)

References 58 publications

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“…Inspired by other researchers exploring the relationships between high order moments of investor attention and assets [ 88 ], we further conduct the related empirical investigations on this issue. Specifically, we consider the squared and cubic terms of investor attention following Han’s empirical process exploring the non-linear relationships between FX market and investor attention [ 88 ]. The preliminary results show that the cubic terms of investor attention can better explain the changes in Bitcoin market, while the squared terms cannot.…”

Section: In-sample Analyzementioning

confidence: 99%

“…Thus, in this section, only the results for cubic terms are reported. The model specifications for return and realized volatility are shown as follows in Eqs ( 6 ) and ( 7 ) according to Han et al [ 88 ].…”

Section: In-sample Analyzementioning

confidence: 99%

“…Based on this insight, we consider the characteristics of the information received by investors in the Bitcoin market, measured by the signs of past changes in Bitcoin earnings, to further quantify the asymmetric relationship between investor attention and Bitcoin. The model specification for analyzing asymmetric relationships between investor attention and Bitcoin return can be generalized by the following Eq ( 8 ) according to Han et al [ 87 ] and Han [ 88 ] et al…”

Section: In-sample Analyzementioning

confidence: 99%

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Investor attention and cryptocurrency: Evidence from the Bitcoin market

Zhu

Zhang

et al. 2021

PLoS ONE

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This paper adds to the growing literature of cryptocurrency and behavioral finance. Specifically, we investigate the relationships between the novel investor attention and financial characteristics of Bitcoin, i.e., return and realized volatility, which are the two most important characteristics of one certain asset. Our empirical results show supports in the behavior finance area and argue that investor attention is the granger cause to changes in Bitcoin market both in return and realized volatility. Moreover, we make in-depth investigations by exploring the linear and non-linear connections of investor attention on Bitcoin. The results indeed demonstrate that investor attention shows sophisticated impacts on return and realized volatility of Bitcoin. Furthermore, we conduct one basic and several long horizons out-of-sample forecasts to explore the predictive ability of investor attention. The results show that compared with the traditional historical average benchmark model in forecasting technologies, investor attention improves prediction accuracy in Bitcoin return. Finally, we build economic portfolios based on investor attention and argue that investor attention can further generate significant economic values. To sum up, investor attention is a non-negligible pricing factor for Bitcoin asset.

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Section: In-sample Analyzementioning

confidence: 99%

Section: In-sample Analyzementioning

confidence: 99%

Section: In-sample Analyzementioning

confidence: 99%

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Investor attention and cryptocurrency: Evidence from the Bitcoin market

Zhu

Zhang

et al. 2021

PLoS ONE

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“…Based on the results, the study recommended that investors who wished to participate in the stock and currency market must use information of main macro-economic variables in specific exchange rates instability to predict the performance of securities exchange market. Han, Xu, and Yin (2017) in their study investigated the influence of investor focus on the changes of exchange rates for nine countries. The results pointed out that lagged investor focus meaningfully upsets currency returns though the influence was short term.…”

Section: Mohammad and Hussainmentioning

confidence: 99%

Exchange Rate Fluctuations and the Performance of Nairobi Securities Exchange Market in Kenya During the Coronavirus Pandemic

Koskei

2021

International Journal of Business, Economics and Management

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“…Crude oil trade follows the "Law of One Price", and crude oil prices in various regions gradually converge due to space arbitrage by crude oil traders. On the other hand, there is information spillover in the futures market [29,30]. There are two major crude oil futures exchanges: the New York Mercantile Exchange (NYMEX) and the London International Petroleum Exchange (IPE).…”

Section: Pairwise Directional Connectedness Using the Full Samplementioning

confidence: 99%

Dynamic Connectedness of International Crude Oil Prices: The Diebold–Yilmaz Approach

Xiao

Huang

2018

Sustainability

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Connectedness is the key to modern risk measurement and management. This study investigates the international connectedness of crude oil prices and explores its time-varying characteristics based on a connectedness measurement framework using daily international crude oil prices. The international connectedness of crude oil prices is investigated from three perspectives: total connectedness, total directional connectedness, and pairwise directional connectedness. We find that the total connectedness of crude oil prices is 67.3%. We also find that the crude oil prices of Tapes, Daqing, Dubai and Minas are highly affected by Brent and WTI (West Texas Intermediate) crude oil prices. Furthermore, WTI and Brent are the price makers of international crude oil prices, while Tapes, Daqing, Dubai and Minas are price takers. From the perspective of pairwise directional connectedness, we find that the degree of pairwise directional connectedness between Brent and WTI are high. Finally, the structure of international crude oil markets stays the same even after market shocks. The main contributions of this study are identification of dynamic connectedness and presentation of the network connectedness of international crude oil prices.

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Does investor attention matter? The attention-return relationships in FX markets

Cited by 41 publications

References 58 publications

Investor attention and cryptocurrency: Evidence from the Bitcoin market

Investor attention and cryptocurrency: Evidence from the Bitcoin market

Exchange Rate Fluctuations and the Performance of Nairobi Securities Exchange Market in Kenya During the Coronavirus Pandemic

Dynamic Connectedness of International Crude Oil Prices: The Diebold–Yilmaz Approach

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