Documents de treball producció científicaUniversitat Rovira i Virgili. Departament d'Economia

The link between cryptocurrencies and Google Trends attention

  • Identification data

    Identifier:  PC:3636
    Authors:  López, Óscar G.; Fernández Bariviera, Aurelio; Aslanidis, Nektarios
    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. Keywords: Cryptocurrencies, Google Trends, transfer entropy, market attention JEL: C4, G01, G14
  • Others:

    Publisher: ECO-SOS, Centre de Recerca en Economia i Sostenibilitat
    Date: 2021
    Identifier: http://hdl.handle.net/2072/534919
    Departament/Institute: Universitat Rovira i Virgili. Departament d'Economia
    Language: eng
    Author: López, Óscar G., Fernández Bariviera, Aurelio, Aslanidis, Nektarios
    Relation: Documents de treball del Departament d'Economia;2021-12
    Source: RECERCAT (Dipòsit de la Recerca de Catalunya)
    Format: 12 p.
  • Keywords:

    336 - Finances. Banca. Moneda. Borsa
    Criptomoneda
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