This review aims to analyze and synthesize the literature produced so far on investor
behavior in the cryptocurrency market. We use VOSviewer 1.6. 17 software to perform a …

We explore the relationship between two novel Twitter-based measures of economic and
market uncertainty and the performance of four major cryptocurrencies. Using a battery of …

We examine the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies.
We calculate cryptocurrency exposure to changes in the geopolitical risk index and …

This paper examines how liquidity risk is priced in the cross‐section of cryptocurrency
returns. In doing so, we use the Amihud measure as a liquidity proxy. By employing the …

We quantify the emotional factors inherited in 2,050,280 posts on Bitcointalk. org and
investigate the impact of emotion on Bitcoin price fluctuations. Future Bitcoin returns are not …

In this paper, we use the transfer entropy to quantify information flows between three
cryptocurrencies, namely Bitcoin, Ethereum and Ripple. We also employ the concept of …

We demonstrate a new powerful predictive signal for cryptocurrency returns: the last day's
return. Based on daily prices of more than 3600 coins, we document that the …

The cryptocurrency crash on the 5th of September, 2018, resulted in price decreases in 95 of
the 100 leading digital currencies. We obtained millisecond data of some of the more …

This study develops a novel generalised seasonality test that utilises sequential dummy
variable regressions for seasonality periodicity equal to prime numbers. It allows to test for …

We employ a repertoire of machine learning models to investigate the cross-sectional return
predictability in cryptocurrency markets. While all methods generate substantial economic …