EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations: View citations in EconPapers (96)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461231830268X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).

 
Page updated 2024-12-28
Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:160-164