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
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
Entidad: Universitat Rovira i Virgili
Año de publicación de la revista: 2022
Tipo de publicación: Journal Publications
Repositori URV