Consumer confidence and cryptocurrency excess returns: a three-factor model
Article
Article Title | Consumer confidence and cryptocurrency excess returns: a three-factor model |
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ERA Journal ID | 18372 |
Article Category | Article |
Authors | Peng, Sanshao, Shams, Syed, Prentice, Catherine and Sarker, Tapan |
Journal Title | Global Finance Journal |
Journal Citation | 62 |
Article Number | 101029 |
Number of Pages | 22 |
Year | 2024 |
Publisher | Elsevier |
Place of Publication | Netherlands |
ISSN | 1044-0283 |
1873-5665 | |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.gfj.2024.101029 |
Web Address (URL) | https://www.sciencedirect.com/science/article/pii/S1044028324001017?casa_token=GdEuB-A5TTAAAAAA:5TQjEcGbGU5F5qLBbMrWPdFIwMnH8Vp4P9bREmkungtckYsYYuL-iTQPL9k9H_UGo8SGp_7WLm4- |
Abstract | This study examined the relation between consumer confidence and cryptocurrency excess returns using a three-factor model of market, size and momentum. We analysed a dataset comprising 3318 cryptocurrencies from 1 January 2014 to 31 December 2022 based on the CoinMarketCap website. Results indicate a significant negative relation between the United States Consumer Confidence Index and cryptocurrency excess returns. The findings were reinforced based on robustness tests. This study contributes to consumer behaviour research and financial management within the cryptocurrency market. It also provides valuable insights for investors to strengthen their investment portfolios and for relevant authorities seeking to formulate effective policies for monitoring the cryptocurrency market. |
Keywords | cryptocurrency returns; momentum factors; cryptocurrency size; factor model; consumer confidence |
Article Publishing Charge (APC) Funding | School/Centre |
Contains Sensitive Content | Does not contain sensitive content |
ANZSRC Field of Research 2020 | 350299. Banking, finance and investment not elsewhere classified |
Byline Affiliations | University of Southern Queensland |
School of Business |
https://research.usq.edu.au/item/z8z96/consumer-confidence-and-cryptocurrency-excess-returns-a-three-factor-model
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