Beyond the hype: examining the relationship between Wikipedia attention and realised skewness for crypto assets

Abstract

AbstractThis study investigates the relationship between Wikipedia searches and the next day’s realised skewness for the top four cryptocurrencies between 2020 and 2022, using a time-varying framework. Daily realised skewness was calculated using one-minute data, and Wikipedia queries were used as a proxy for investor attention. The study reports a positive time-varying relationship between today’s Wikipedia attention and the next day’s realised skewness, with increases in Wikipedia attention on a given day associated with higher realised skewness on the following day. However, there was no significant contemporaneous relationship between Wikipedia attention and realised skewness. The study also found that the relationship between Wikipedia attention and realised skewness becomes more stable over time. The findings suggest that Wikipedia attention may be a useful predictor of realised skewness for cryptocurrencies, which could have implications for investors and market participants.