2022/11/23 by Amin Izadyar, Izadyar, Amin, Shiva Zamani +1
Computer Science · Economics, Econometrics and Finance · #Blockchain Technology Applications and Security #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Markets and Investment Strategies
paper · pdf · doi:10.48550/arxiv.2211.13274
openalex publication_date 2022/11/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper investigates how changes in investor base is related to idiosyncratic volatility in cryptocurrency markets. For each cryptocurrency, we set change in its subreddit followers as a proxy for the change in its investor base, and find out that the latter can significantly increase cryptocurrencies idiosyncratic volatility. This finding is not subsumed by effects of size, momentum, liquidity and volume and is robust to various measures of idiosyncratic volatility.