Articles producció científica> Gestió d'Empreses

The link between cryptocurrencies and Google Trends attention

  • Identification data

    Identifier: imarina:9243525
    Handle: https://hdl.handle.net/20.500.11797/imarina9243525
    Authors:
    Aslanidis NBariviera AFLópez ÓG
    Abstract:
    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.

  • Others:

    Author, as appears in the article.: Aslanidis N; Bariviera AF; López ÓG
    Department: Gestió d'Empreses
    URV's Author/s: Alkhoury, Nadine / Aslanidis, Nektarios / Fernández Bariviera, Aurelio
    Keywords: Volatility Transfer entropy Market attention Google trends Cryptocurrencies transfer entropy predict market attention google trends
    Abstract: 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.
    Thematic Areas: Finance Economia Direito Ciencias sociales Business, finance Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
    licence for use: https://creativecommons.org/licenses/by/3.0/es/
    Author's mail: 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
    Author identifier: 0000-0001-8990-920X 0000-0001-8990-920X 0000-0003-1014-1010
    Record's date: 2024-09-07
    Papper version: info:eu-repo/semantics/publishedVersion
    Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
    Papper original source: Finance Research Letters. 47
    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
    Entity: Universitat Rovira i Virgili
    Journal publication year: 2022
    Publication Type: Journal Publications

  • Keywords:

    Business, Finance,Finance
    Volatility
    Transfer entropy
    Market attention
    Google trends
    Cryptocurrencies
    transfer entropy
    predict
    market attention
    google trends
    Finance
    Economia
    Direito
    Ciencias sociales
    Business, finance
    Administração, ciências contábeis e turismo
    Administração pública e de empresas, ciências contábeis e turismo

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