Narrative attention and related cryptocurrency returns

Nguyen, KQ; Nguyen, TH; Do, BL

Narrative attention and related cryptocurrency returns

Nguyen, KQ Nguyen, TH Do, BL

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Finance Research Letters, 2023, 56, pp. 104174
Issue Date:: 2023-09-01

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Field	Value	Language
dc.contributor.author	Nguyen, KQ
dc.contributor.author	Nguyen, TH
dc.contributor.author	Do, BL
dc.date.accessioned	2023-09-29T05:30:02Z
dc.date.available	2023-09-29T05:30:02Z
dc.date.issued	2023-09-01
dc.identifier.citation	Finance Research Letters, 2023, 56, pp. 104174
dc.identifier.issn	1544-6123
dc.identifier.uri	http://hdl.handle.net/10453/172387
dc.description.abstract	We investigate the causal relationship between investor attention to prevailing narratives and the returns of narrative-related coins. We find that when a particular narrative gains prevalence, the returns of coins related to that narrative increase significantly. In turn, the higher price growth of coins attracts more investor attention and increases the search queries for the corresponding narrative. Our empirical results suggest that investors can use information on narrative attention to make investment decisions for narrative-related coins. Our research also helps to explain the recent rapid price growth of artificial intelligence-related cryptocurrencies, which is driven by the AI narrative, propelled by the success of ChatGPT.
dc.language	en
dc.publisher	Elsevier
dc.relation.ispartof	Finance Research Letters
dc.relation.isbasedon	10.1016/j.frl.2023.104174
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.subject.classification	3502 Banking, finance and investment
dc.title	Narrative attention and related cryptocurrency returns
dc.type	Journal Article
utslib.citation.volume	56
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access	*
dc.date.updated	2023-09-29T05:30:01Z
pubs.publication-status	Published
pubs.volume	56

Abstract:

We investigate the causal relationship between investor attention to prevailing narratives and the returns of narrative-related coins. We find that when a particular narrative gains prevalence, the returns of coins related to that narrative increase significantly. In turn, the higher price growth of coins attracts more investor attention and increases the search queries for the corresponding narrative. Our empirical results suggest that investors can use information on narrative attention to make investment decisions for narrative-related coins. Our research also helps to explain the recent rapid price growth of artificial intelligence-related cryptocurrencies, which is driven by the AI narrative, propelled by the success of ChatGPT.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/172387