Autor segons l'article: Aslanidis N; Bariviera AF; López ÓG
Departament: Gestió d'Empreses
Autor/s de la URV: Alkhoury, Nadine / Aslanidis, Nektarios / Fernández Bariviera, Aurelio
Paraules clau: Volatility Transfer entropy Market attention Google trends Cryptocurrencies transfer entropy predict market attention google trends
Resum: This paper revisits the linkage between cryptocurrencies and public disclosed preferences, proxied by online searches. We show that cryptocurrencies are not related to a general uncertainty index as measured by the Google Trends data by Castelnuovo and Tran (2017). Instead, cryptocurrencies are linked to a Google Trends attention measure specific for this market. In particular, we find a bidirectional flow of information between Google Trends attention and cryptocurrency returns up to six days. Moreover, information flows from cryptocurrency volatility to Google Trends attention seem to be larger than those in the other direction. Finally, we report a significant tail dependence between cryptocurrency returns and Google Trends. These relations hold for the five cryptocurrencies analyzed and different compositions of the proposed Google Trends Cryptocurrency index.
Àrees temàtiques: Finance Economia Direito Ciencias sociales Business, finance Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
Accès a la llicència d'ús: https://creativecommons.org/licenses/by/3.0/es/
Adreça de correu electrònic de l'autor: nadine.alkhoury@estudiants.urv.cat nadine.alkhoury@estudiants.urv.cat nadine.alkhoury@estudiants.urv.cat nadine.alkhoury@estudiants.urv.cat nektarios.aslanidis@urv.cat nektarios.aslanidis@urv.cat aurelio.fernandez@urv.cat
Identificador de l'autor: 0000-0001-8990-920X 0000-0001-8990-920X 0000-0003-1014-1010
Data d'alta del registre: 2024-09-07
Versió de l'article dipositat: info:eu-repo/semantics/publishedVersion
URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
Referència a l'article segons font original: Finance Research Letters. 47
Referència de l'ítem segons les normes APA: Aslanidis N; Bariviera AF; López ÓG (2022). The link between cryptocurrencies and Google Trends attention. Finance Research Letters, 47(), -. DOI: 10.1016/j.frl.2021.102654
Entitat: Universitat Rovira i Virgili
Any de publicació de la revista: 2022
Tipus de publicació: Journal Publications
Repositori URV