Finance Research Letters 40 (2021) 101702

Contents lists available at ScienceDirect

Finance Research Letters

journal homepage: www.elsevier.com/locate/frl

Investor attention and cryptocurrency performance

Zih-Ying Lin
Department of Finance and International Business, Fu Jen Catholic University, Taiwan

A R T I C L E I N F O A B S T R A C T

JEL classification: This paper investigates the causal relation between the performance of several cryptocurrencies
G12 and investor attention by employing Granger Causality tests and Vector Autoregression (VAR)
G14 models to examine such a relation. The findings show that interaction effects exist between
Keywords: returns and attention when I use Granger Causality tests, but when using VAR models, past
Investor attention cryptocurrency returns present a significant effect on future attention and weak reverse results.
Cryptocurrency returns
Thus, I hypothesize that if a cryptocurrency has higher past performance, then investors may pay
Google search probability
more attention to it. After controlling the effect of economy-wide variables, I still find that past
Vector autoregression
cryptocurrency returns significantly impact future attention.

1. Introduction

Most studies in the literature concerning Bitcoin focus on investor attention (Baig et al., 2019; Dastgir et al., 2019; Philippas et al.,
2019; Shen et al., 2019), because it is the largest cryptocurrency with a current market capitalization of over U$90 billion. However,
there are several other cryptocurrencies that have also received a lot of interest from the media and investors, such as Ethereum
(market capitalization of U$12.8 billion), XRP (U$6.38 billion), Tether (U$4.66 billion), and Litecoin (U$2.16 billion) (investing.com,
accessed on March 16, 2020). As only discussing the Bitcoin market is insufficient, this research thus includes the top five major
cryptocurrencies in order to fill the gap in the related literature.
The prior literature has discussed both the financial market and cryptocurrency market in terms of the relation between investor
attention and asset returns. In the financial market, Vozlyublennaia (2014) examines the relation between six security indices and
investor attention and finds that greater investor attention reduces return predictability. Perlin et al. (2017) investigate the interaction
between Google searches and international equity markets, indicating that increases in these searches result in lower index returns and
higher volatility over the next week. Kim et al. (2019) study how Google searches predict future abnormal returns, volatility, and
volume, finding that they do not predict future abnormal returns, but do positively correlate to volatility and volume.
For the cryptocurrency market, Philippas et al. (2019) use Twitter and Google Trends as proxies for media attention and discuss the
relation between attention and Bitcoin prices. Their results suggest that media attention partially drives Bitcoin prices, and this is
larger for periods of higher uncertainty. Urquhart (2018) finds that previous day volume and realized volatility both significantly affect
Bitcoin’s Google Trends. Shen et al. (2019) employ number of tweets as a proxy for investor attention and suggest that investor
attention significantly affects future realized volatility and trading volume. Dastgir et al. (2019) use the Copula-based Granger cau­
sality test to examine the causal relationship between Bitcoin attention and its return, finding that a bi-directional relationship only
exists in the left tail and the right tail of the distribution.
As noted above, most related papers only focus on the Bitcoin market, but Katsiampa (2019) targets the volatility co-movement

The author is extremely grateful to the Ministry of Science and Technology of Taiwan for financial support given to this study.
E-mail addresses: 144638@mail.fju.edu.tw, zylin256@gmail.com.

https://doi.org/10.1016/j.frl.2020.101702
Received 4 May 2020; Received in revised form 8 July 2020; Accepted 24 July 2020
Available online 26 July 2020
1544-6123/© 2020 Elsevier Inc. All rights reserved.
Z.-Y. Lin Finance Research Letters 40 (2021) 101702

between Bitcoin and Ethereum and finds that they exhibit interdependency in the cryptocurrency market. Tu and Xue (2019) discuss
the bifurcation effect on the interactions between Bitcoin and Litecoin, showing that this effect moves from Bitcoin to Litecoin before
Bitcoin bifurcation, whereas the direction reverses after the bifurcation. Celeste et al. (2019) consider the returns and volatilities of
Bitcoin, Ethereum, and Ripple (XRP), stating that Bitcoin prices present long-term memory, and that Ethereum and Ripple illustrate a
growing underlying memory behavior. I therefore conjecture that examining investor attention should include several major cryp­
tocurrencies and not just the Bitcoin market. I thus fill the gap in literature and consider several popular cryptocurrencies (Bitcoin,
Ethereum, Litecoin, XRP, and Tether) to examine causal relationships between investor attention and cryptocurrency returns.1
Based on weekly cryptocurrency transaction data for the sample period from April 16, 2017 to February 23, 2020, a summary of the
findings runs as follows. First, I show the results of Granger causality tests and find that the lagged returns have a significant effect on
attention within the same cryptocurrency or across cryptocurrencies. Second, I use Vector Autoregression (VAR) models with two lags
to examine the correlation between cryptocurrency returns and attention. The results show that lagged returns have a significant
impact on attention even when I control the effect of macroeconomic variables, especially for Bitcoin, Ethereum, and Litecoin.
Both Dastgir et al. (2019) and Shen et al. (2019) closely resemble this present study, but differ in two aspects. First, they only focus
on the Bitcoin market and do not consider any other major cryptocurrency. Second, their studies do not look into the effect of mac­
roeconomic variables.
The remainder of the paper is organized as follows. Section 2 describes the data adopted herein and explains the empirical
methodology. Section 3 discusses the empirical results. Section 4 presents the conclusions drawn from this study.

2. Literature review

Prior studies have explored how exogenous variables affect cryptocurrency returns, including macroeconomic news surprises,
commodity prices, global uncertainty, trading volume, fiat currencies, and other economic and financial variables (Al-Khazali et al.,
2018; Bouri et al., 2018a, 2018b; Bouri and Gupta, 2019; Bouri et al., 2019; Kristjanpoller and Bouri, 2019, 2020). Al-Khazali et al.
(2018) further discuss the impacts of macroeconomic news surprises on gold and Bitcoin. They find that Bitcoin prices and volatility
react to macroeconomic news surprises relatively lesser than gold no matter if the impact is positive or negative. Bouri et al. (2018)
study the asymmetric non-linear short- and long-run effects of commodity prices on Bitcoin price. Bouri et al. (2018) consider global
uncertainty and find that the global financial stress index Granger causes Bitcoin returns. Additionally, Bouri and Gupta (2019)
indicate that the predictability of Bitcoin using Internet search-based measures of uncertainty is stronger than the measures from
newspapers. Bouri et al. (2019) investigate the Granger causalities between trading volume and cryptocurrency returns using seven
leading cryptocurrencies (Bitcoin, Ethereum, Litecoin, Ripple, Stellar, Dash, and Nem). Kristjanpoller and Bouri (2019) examine an
asymmetric multifractal relation between several leading currencies and several major cryptocurrencies (Bitcoin, Ripple, Litecoin,
Dash, and Monero), suggesting that Bitcoin and Litecoin have higher multifractal behavior, whereas Monero’s and Ripple’s is lower.
Bouri et al. (2020) investigate market integration in the cryptocurrency market using twelve leading cryptocurrencies (Bitcoin,
Ethereum, Litecoin, Ripple, Stellar, Bitshares, Monero, Nem, Bytecoin, Dash, Dogecoin, and Digibyte). They find that trading volume
and uncertainty measures are the most important determinants of integration.

3. Data and methodology

I collect data on five major cryptocurrencies and their US dollar closing prices from investing.com, including Bitcoin, Ethereum,
Litecoin, XRP, and Tether. All the data use weekly values. The closing price on Sundays is used for all the weekly variables. The data
span from April 16, 2017 to February 29, 2020.2

3.1. Return

I obtain cryptocurrency prices from investing.com and convert them into returns. The returns are calculated by Eq. (1), where
subscript t represents time. The weekly returns (Rt) are computed as:
Rt = Ln(Pt ) − Ln(Pt− 1 ) (1)

3.2. Google search probability

I use Google search probability as a proxy for investor attention, which is obtained from Google Trends.3 Google shows the search
times for a given keyword. I employ the following Google search keywords: ‘Bitcoin’ (BitcoinSearch), ‘Ethereum’ (EthereumSearch),

1
This paper uses investor attention as another component to investigate the price determinants of cryptocurrency returns. As prior studies have
discussed several exogenous variables’ effect on cryptocurrency returns, I therefore provide more detail related studies in the literature review
section.
2
The sample period is from April 16, 2017, because Tether data only can be observed after that day.
3
The data are from the website, http://www.Google.com/trends.

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Z.-Y. Lin Finance Research Letters 40 (2021) 101702

Fig. 1. Google search probability.

‘Litecoin’ (LitecoinSearch), ‘XRP’ (XRPSearch), and ‘Tether’ (USDTSearch).4 One potential problem for using the choice of keywords is that
several unrelated noises may exist in the search data. Thus, I utilize the precise keyword for each cryptocurrency to make sure that it
only captures relevant information. I follow the method of Baig et al. (2019) by using relative probability.
Google searchprobability = Weekly index of Google Trend for each cryptocurrency (relative toits index of April 16, 2017) scaled by 100
(2)

3.3. Granger causality tests

In order to investigate the causal relationship between investor attention and cryptocurrency return, I first use Granger causality
tests (Granger, 1969) to examine how change in cryptocurrency returns can attract investor attention. Additionally, I examine the
opposite direction, where changes in cryptocurrency returns cause changes in investor attention. The study tests Granger causality
between cryptocurrency return (R) and Google search probability (G) with two lags and under the following model specification:
Rt = δ01 + δ11 Rt− 1 + δ21 Rt− 2 + ω11 Gt− 1 + ω21 Gt− 2 + et , (3)

Gt = δ02 + δ12 Rt− 1 + δ22 Rt− 2 + ω12 Gt− 1 + ω22 Gt− 2 + et . (4)
The first equation tests that G does not Granger cause R (ω11 = ω21 = 0), and the second equation tests that R does not Granger cause
G (δ12 = δ22 = 0).

3.4. Vector autoregression (VAR) model

Granger causality tests provide preliminary statistical causality, but one cannot use it to know when the effect disappears or the sign
of the relationship. I hence consider the VAR model for further investigation. The model is:
Zt = α0 + α1 Zt− 1 + α2 Zt− 2 + ϵt , (5)

where vector Z refers to cryptocurrency returns and the suitable Google search variables. To save space, I do not show the results of
cross-cryptocurrency relationships in the VAR models. Following the argument of Petkova (2006) and Vozlyublennaia (2014), I
consider the exogenous economy-wide effect in this paper and utilize three macroeconomic variables: term spread (TERMSP), default
spread (DEFSP), and one-year Treasury bill rate (RF).5,6 As some studies discuss the effect of global economic policy uncertainty
(GEPU) on cryptocurrency (Fang et al., 2019; Wang et al., 2019), I include the GEPU index as one of the macroeconomic variables.7

4
Using Tether as the keyword, the search shows greater noise. Thus, I use USDT as a search keyword.
5
All the monthly data spanning April 2017 to January 2020 come from the Federal Reserve Economic Data website.
6
See Petkova (2006) for details.
7
The data are from http://www.policyuncertainty.com/global_monthly.html.

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Z.-Y. Lin Finance Research Letters 40 (2021) 101702

Fig. 2. Cryptocurrency returns.

4. Empirical results

Fig. 1 presents the graph of the Google search probability of the five major cryptocurrencies where we can see the huge amount of
investor attention targeting the cryptocurrency market at the end of 2017 as well as the subsequent drop in attention during February
2018. All the cryptocurrencies have similar attention patterns, implying that investor attention not only targets Bitcoin, but also other
cryptocurrencies.
Fig. 2 shows the weekly returns for each cryptocurrency and illustrates that Bitcoin, Ethereum, and Litecoin exhibit similar pat­
terns. USDT has a lower return change with two decimal digits from − 0.03 to 0.05, while XRP has a higher return change with two
decimal digits from − 0.49 to 1.14. The average weekly returns of the cryptocurrencies are close to 0.01 except USDT. In addition, I find
that Bitcoin, Ethereum, and USDT have maximum weekly returns in 2017, but before December, whereas the weekly returns of
Litecoin and XRP have a maximum value in December 2017.
Table 1 shows the results of the causal relationship between Google search probabilities and cryptocurrency returns with p-values.
There are two p-values for each cryptocurrency. The p-value of the first row tests that the cryptocurrency return does not Granger cause
Google search probability (the null hypothesis). The p-value of the second row tests that Google search probability does not Granger
cause cryptocurrency return (the null hypothesis).
I consider two lags for the Granger causality tests. The columns and rows show the Google search probabilities and cryptocurrency

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Z.-Y. Lin Finance Research Letters 40 (2021) 101702

Table 1
Results of Granger causality tests for each cryptocurrency.
BR ER LR TR XR

BITCOIN 0.0003 0.0738 0.0540 0.3206 0.2518

0.1919 0.2802 0.0541 0.0282 0.0002
ETHEREUM 0.0000 0.0002 0.0733 0.0131 0.0183
0.7852 0.7796 0.4204 0.0000 0.1886
LITECOIN 0.0087 0.9575 0.0403 0.7674 0.4088
0.1190 0.6571 0.2811 0.0014 0.0658
USDT 0.0002 0.0093 0.0009 0.2721 0.0053
0.2417 0.8638 0.5447 0.1573 0.3510
XRP 0.7557 0.5227 0.2315 0.0778 0.4266
0.0513 0.2676 0.1044 0.0172 0.3551

The cryptocurrencies include Bitcoin, Ethereum, Litecoin, XRP, and Tether and show the return (Google search probability) in the row (column). All
the data are weekly frequency, and the sample period is from April 16, 2017 to February 29, 2020. The first row of the p-value test’s cryptocurrency
return does not Granger cause Google search probability (the null hypothesis). The second row of the p-value test’s Google search probability does not
Granger cause cryptocurrency return (the null hypothesis).

Table 2
Google search probabilities and cryptocurrency returns for the VAR model.
BITCOIN ETHEREUM LITECOIN USDT XRP

Rt Gt Rt Gt Rt Gt Rt Gt Rt Gt

Intercept 0.0135 0.0106 0.0018 0.0124 0.0136 0.0125 0.0011 0.0120 0.0222 0.0162
(1.03) (1.51) (0.11) (1.62) (0.87) (1.99)** (1.22) (1.50) (1.03) (2.52)***
Rt-1 − 0.0329 0.1469 0.1568 0.1750 − 0.0052 0.0912 − 0.0721 − 1.0666 0.1924 0.0401
(− 0.39) (3.29)*** (1.84)* (4.19)*** (− 0.05) (2.45)*** (− 0.88) (− 1.41) (1.87)* (1.29)
R t-2 0.0251 0.1225 0.0941 − 0.0353 0.0810 − 0.0218 − 0.0786 0.5248 0.1045 0.0004
(0.29) (2.67)*** (1.07) (− 0.82) (0.91) (− 0.61) (− 0.96) (0.69) (1.22) (0.01)
G t-1 0.2640 0.7541 − 0.0873 0.8711 0.2141 0.6643 0.0123 0.6271 0.1608 1.0408
(1.72)* (9.20)*** (− 0.49) (10.08)*** (0.93) (7.16)*** (1.42) (7.85)*** (0.46) (9.93)***
G t-2 − 0.2729 0.1197 0.1107 0.0279 − 0.3365 0.0434 − 0.0160 0.2890 − 0.3140 − 0.1908
(− 1.81)* (1.48) (0.65) (0.33) (− 1.56) (0.50) (− 1.87)* (3.63)*** (− 0.94) (− 1.92)*
2
R 0.0264 0.8112 0.0379 0.8527 0.0229 0.5525 0.0374 0.8049 0.0823 0.8104

This table shows the results of the VAR estimation for Google search probability (Gt) and cryptocurrency return (Rt). The cryptocurrencies include
Bitcoin, Ethereum, Litecoin, XRP, and Tether. All the weekly data are collected from April 16, 2017 to February 29, 2020. The first and second
columns show the return and Google search probability as dependent variables, respectively. Reported below are coefficients and t-statistics, and all
VAR specifications contain two lags. ***, **, and * indicate significance at the 1%, 5%, and 10% levels, respectively.

returns, respectively. I find sparse evidence that investor attention influences cryptocurrency returns. In contrast, most of this attention
is driven by changes in said returns. Additionally, the cause effect occurs within the same cryptocurrency as well as across different
cryptocurrencies. Several significant effects appear between attention and returns when two lags are involved in the model
specification.
Table 2 shows the results of the VAR model for each cryptocurrency return and its Google search probability. The first column and
second column present the regression coefficients using return and Google search probability as dependent variables, respectively. We
can see that past returns (Bitcoin, Ethereum, and Litecoin) have a positively significant impact on future investor attention for the
model specification with two lags, but the impact does not last very long. However, I only find weak evidence that past Google search
probability affects future cryptocurrency returns for Bitcoin. This is consistent with the finding of Shen et al. (2019), who use Twitter as
a form of investor attention to examine its effect on Bitcoin returns.8
In Table 3 I further consider the effects of economy-wide variables with the VAR models and look to robust the previous results. I
find that the results do not change when I control the effect of economy-wide variables. Past returns still have a positively significant
effect on future investor attention, but they do not include Tether and XRP. This may be explained by investors paying less attention to
information on such cryptocurrencies. All the results suggest that past returns impact attention within the same cryptocurrency or
across cryptocurrencies, but it is typically short lived.

5. Conclusions

Several papers in the literature study the components of cryptocurrency price determinants, and most of them only focus on the
Bitcoin market. This research thus extends prior studies and offers another component (investor attention) to examine the relationship
between investor attention and the performance of cryptocurrencies in several broad investment categories. The results show that the

8
I obtain similar results when using four lags as a form of robustness in untabulated tests.

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Z.-Y. Lin Finance Research Letters 40 (2021) 101702

Table 3
The effect of macro-level variables for the VAR model.
BITCION ETHEREUM LITECOIN USDT XRP

Rt Gt Rt Gt Rt Gt Rt Gt Rt Gt

Intercept − 0.0900 0.1058 − 0.0451 0.0746 − 0.0244 0.1675 − 0.0204 0.0799 0.0502 0.1238
(− 0.48) (1.02) (− 0.20) (0.68) (− 0.09) (1.66)* (− 1.57) (0.65) (0.17) (1.41)
Rt-1 − 0.1011 0.1505 0.0923 0.1665 − 0.0782 0.1000 − 0.1227 − 1.1633 0.1555 0.0453
(− 1.19) (3.19)*** (1.05) (3.79)*** (− 0.81) (2.51)*** (− 1.47) (− 1.46) (1.43) (1.38)
Rt-2 − 0.0356 0.1250 0.0654 − 0.0339 0.0233 − 0.0092 − 0.1284 0.4205 0.0854 0.0077
(− 0.40) (2.58)*** (0.72) (− 0.75) (0.24) (− 0.23) (− 1.52) (0.52) (0.93) (0.28)
G t-1 0.2605 0.7414 − 0.1025 0.8435 0.2757 0.6205 0.0124 0.6181 0.2345 1.0119
(1.71)* (8.76)*** (− 0.57) (9.49)*** (1.16) (6.37)*** (1.42) (7.54)*** (0.63) (9.18)***
Gt-2 − 0.2888 0.1007 0.0867 − 0.0016 − 0.3859 0.0172 − 0.0135 0.3000 − 0.3462 − 0.1843
(− 1.91)* (1.20) (0.50) (− 0.01) (− 1.78)* (0.19) (− 1.52) (3.60)*** (− 1.02) (− 1.80)*
DEFSP 18.4709 − 4.1399 18.8139 − 1.3824 23.6622 − 4.9637 0.5457 4.3772 9.6027 − 0.4752
(2.11)** (− 0.85) (1.75)* (− 0.25) (1.94)* (− 0.99) (0.86) (0.73) (0.65) (− 0.10)
TERMSP − 4.0032 0.3629 − 7.8473 3.0887 − 12.2128 − 1.4632 1.0343 − 6.8081 − 4.7558 − 5.5898
(− 0.42) (0.06) (− 0.67) (0.53) (− 0.95) (− 0.27) (1.61) (− 1.12) (− 0.31) (− 1.22)
GEPU − 0.0009 0.0000 − 0.0010 − 0.0001 − 0.0015 − 0.0001 0.0000 − 0.0004 − 0.0007 − 0.0003
(− 1.67)* (0.05) (− 1.53) (− 0.22) (− 2.02)** (− 0.32) (0.51) (− 1.11) (− 0.87) (− 1.06)
RF − 3.9485 − 0.5874 − 5.2258 − 1.2121 − 5.2150 − 1.2415 0.1071 − 2.8718 − 3.0744 − 0.9212
(− 1.16) (− 0.31) (− 1.25) (− 0.58) (− 1.14) (− 0.66) (0.47) (− 1.34) (− 0.57) (− 0.56)
R2 0.1012 0.8129 0.0835 0.8572 0.0799 0.5654 0.0869 0.8092 0.0966 0.8151

This table presents two columns’ results of the VAR model with cryptocurrency return (Rt) and Google search probability (Gt) as the dependent
variables, respectively. The cryptocurrencies include Bitcoin, Ethereum, Litecoin, XRP, and Tether. DEFSP and TERMSP note the default spread and
term spread, respectively. GEPU is the index of global economic policy uncertainty. RF is the one-year Treasury bill rate. The monthly data are
obtained from April 2017 to January 2020. Reported below are coefficients and t-statistics, and all VAR specifications contain two lags. ***, **, and *
indicate significance at the 1%, 5%, and 10% levels, respectively.

performances of the cryptocurrencies Bitcoin, Ethereum, and Litecoin do influence investor attention, but their effects last only one
week. I therefore suggest that past cryptocurrency returns play an important role for investor attention since such returns reveal in­
formation that is driven by investors. However, I do not find strong evidence that future returns are due to past Google search
probability. Furthermore, I control additional economy-wide variables in the VAR models, and the main results do not change. Overall,
this paper supports the view that higher past cryptocurrency returns increase investor attention and provides useful information for
investors who invest in a cryptocurrency and who are concerned about any macroeconomic effects upon it.

Author statement

About the Author: Zih-Ying Lin Roles: Methodology, empirical, writing-original draft.

Supplementary materials

Supplementary material associated with this article can be found, in the online version, at doi:10.1016/j.frl.2020.101702.

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