Information demand and cryptocurrency market activity

Paraskevi Katsiampa, Konstantinos Moutsianas and Andrew Urquhart

Economics Letters, 2019, vol. 185, issue C

Abstract: This paper studies the relationship between information demand measured by Google search volume index, price returns, and trading volume for five major cryptocurrencies. We find that past information demand flows significantly influence the volume of all cryptocurrencies except for Litecoin. Moreover, trading volumes are found to Granger cause the information demand flows of Bitcoin, Ripple, and Litecoin, while previous day’s returns significantly influence the information demand flows of all the altcoins.

Keywords: Information demand flows; Bitcoin; Cryptocurrency; Volume; VAR (search for similar items in EconPapers)
JEL-codes: C22 G1 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:185:y:2019:i:c:s0165176519303556

DOI: 10.1016/j.econlet.2019.108714

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