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
Link to the original source: https://www.sciencedirect.com/science/article/pii/S1544612321005833
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
Article's DOI: 10.1016/j.frl.2021.102654
Entity: Universitat Rovira i Virgili
Journal publication year: 2022
Publication Type: Journal Publications
Repositori URV