论文标题
投资者基础和加密货币的特质波动
Investor base and idiosyncratic volatility of cryptocurrencies
论文作者
论文摘要
本文研究了投资者基础的变化与加密货币市场中的特质波动有关。对于每种加密货币，我们将其次级关注者的变化设置为改变其投资者基础的代理，并发现后者可以大大增加加密货币的特殊波动。这一发现并非由大小，动量，流动性和体积的影响所归。
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.
