Investor Attention and Bitcoin Futures Market

Abstract

This research explores the relationship between abnormal investor attention and Bitcoin futures return by using several Google search keywords covering Bitcoin futures to measure investor attention in its futures market. The empirical findings show that abnormal investor attention significantly negatively correlates to Bitcoin futures return when the market declines. We further consider the effect of COVID-19 and Bitcoin market crash on such a correlation and present that the relation becomes more pronounced during the latter downward periods, but find only a weak effect on such a relation during the epidemic. Finally, we provide evidence after controlling for Bitcoin spot return and VIX that the negative relation between investor attention and Bitcoin futures return is still significant, especially during a Bitcoin crash.