Investor Attention and Cryptocurrency Price Crash Risk : A Quantile Regression Approach

Motivated by the lure of cryptocurrencies for retail investors, whose concentrated holdings are particularly exposed to price crash risk, we study the relationship between investor attention and crash risk. Adopting a quantile regression approach, we find that the connection is concentrated in the tails of the distribution of crash risk. Investor attention has a positive relationship with crash risk when crash risk is low (below-median quantiles), and negative when crash risk is high (above-median). Our findings are consistent for different measures of crash risk, for alternate internet searches, and for a panel of large cryptocurrencies in addition to Bitcoin. Our results provide insights that are not apparent in previous analysis of cryptocurrency price crash risk