Articles producció científica> Gestió d'Empreses

The link between cryptocurrencies and Google Trends attention

  • Datos identificativos

    Identificador: imarina:9243525
    Autores:
    Aslanidis NBariviera AFLópez ÓG
    Resumen:
    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.
  • Otros:

    Autor según el artículo: Aslanidis N; Bariviera AF; López ÓG
    Departamento: Gestió d'Empreses
    Autor/es de la URV: Alkhoury, Nadine / Aslanidis, Nektarios / Fernández Bariviera, Aurelio
    Palabras clave: Volatility Transfer entropy Market attention Google trends Cryptocurrencies transfer entropy predict market attention google trends
    Resumen: 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.
    Áreas temáticas: Finance Economia Direito Ciencias sociales Business, finance Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
    Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
    Direcció de correo del 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 del autor: 0000-0001-8990-920X 0000-0001-8990-920X 0000-0003-1014-1010
    Fecha de alta del registro: 2024-09-07
    Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
    Enlace a la fuente original: https://www.sciencedirect.com/science/article/pii/S1544612321005833
    URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referencia al articulo segun fuente origial: Finance Research Letters. 47
    Referencia 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
    DOI del artículo: 10.1016/j.frl.2021.102654
    Entidad: Universitat Rovira i Virgili
    Año de publicación de la revista: 2022
    Tipo de publicación: Journal Publications
  • Palabras clave:

    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
  • Documentos:

  • Cerca a google

    Search to google scholar