Examining interconnectedness between media attention and cryptocurrency markets: A transfer entropy story

David Neto

Economics Letters, 2022, vol. 214, issue C

Abstract: This note aims at using transfer entropy as a broader concept of causality than Granger’s approach to measure the direction and the intensity of spillovers between five major cryptocurrencies. For this purpose, we use two channels of transmission: price movements and Google-based investor attention. Our results shed light on the dominance of only a few cryptocurrencies, in their influences on price movements as well as on media attention in the other cryptocurrencies.

Keywords: Cryptocurrency; Media attention; Financial contagion; Transfer entropy (search for similar items in EconPapers)
JEL-codes: C38 G1 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:214:y:2022:i:c:s0165176522001033

DOI: 10.1016/j.econlet.2022.110460

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