The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test
Shabbir Dastgir,
Ender Demir,
Gareth Downing,
Giray Gözgör and
Chi Keung Lau
Finance Research Letters, 2019, vol. 28, issue C, 160-164
Abstract:
This paper examines the causal relationship between Bitcoin attention (measured by the Google Trends search queries) and Bitcoin returns for the period from January 1, 2013, to December 31, 2017. For this purpose, we employ the Copula-based Granger Causality in Distribution (CGCD) test. After implementing various robustness checks, we observe that there is a bi-directional causal relationship between Bitcoin attention and Bitcoin returns with the exception of the central distributions from 40% to 80%. To put it differently, the bidirectional causality mainly exists in the left tail (poor performance) and the right tail (superior performance) of the distribution.
Keywords: Bitcoin; Cryptocurrencies; Google trends; Causality analysis; Granger causality in distribution; Copula approach (search for similar items in EconPapers)
JEL-codes: C22 D83 G12 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (96)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:160-164
DOI: 10.1016/j.frl.2018.04.019
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