Università degli studi di Modena e Reggio Emilia

Abstract
The aim of this paper is twofold. First, we assess the impact of attention, sentiment and uncertainty on cryptocurrency returns, trading volume and volatility. Second, we analyze if the relationship varies across cryptocurrency exchanges. The analysis is conducted on both volatile and stable cryptocurrencies traded on three different cryptocurrency exchanges. The study employs attention, sentiment and uncertainty proxies obtained from both the financial market and the cryptocurrency market. The results may be useful for investors for trading purposes and for selecting the cryptocurrency exchange.