Price crash risk of Bitcoin futures: does investor attention to NFTs matter?

Abstract

In this study, we employ an NFTs news attention (NFTATT) index to measure investor attention to non-fungible tokens (NFTs) and examine its impact on the price crash risk of Bitcoin futures listed on the Chicago Mercantile Exchange. Using a sample period spanning from February 2018 to June 2023, we document a negative relationship between NFTATT and Bitcoin price crash risk. Further analysis shows that the NFTATT index has a stronger mitigating effect on price crash risk when investor interest in NFTs is at a high level. Additionally, market sentiment, as measured by the crypto fear and greed index, tends to increase the likelihood of Bitcoin price crashes.