Analysis of online attention of investors and cryptocurrency returns; a quantile approach

Identifier:  TFG:7479

Handle: https://hdl.handle.net/20.500.11797/TFG7479

Authors:  Sumoy Reverter, Ariadna

Abstract:
This work investigates the relationship between the number of daily searches on Wikipedia on keywords related to the Covid-19 pandemic and the war between Ukraine and Russia, and the returns of three selected cryptocurrencies; Bitcoin, Ethereum and Tether. To accomplish this, data is collected for the construction of self-created attention indices and correlated with daily cryptocurrency returns using quantile regression. This methodology makes it possible to analyze how this relationship varies along the different quantiles of the yield distribution. The results show that online interest, especially during the coronavirus, has a significant impact on the returns of Bitcoin and Ethereum in the most extreme quantiles. However, war conflict does not appear to have such a pronounced effect on returns, possibly due to its more localized nature. This work provides a deeper understanding of how online interest can influence cryptocurrency returns, offering valuable insights for investors and academics interested in this ever-evolving field.