Interest in cryptocurrencies predicts conditional correlation dynamics

Thomas Chuffart

Finance Research Letters, 2022, vol. 46, issue PA

Abstract: Using a Smooth Transition Conditional Correlation model with Google search data as a transition variable, I investigate correlation dynamics between a set of crypto-currencies. A major change in the correlation dynamics after the 2017 bubble burst is explained by the attention subsequently surrounding cryptocurrencies. Google searches are found to be a good predictor of correlation between cryptocurrencies and could provide useful input to portfolio management.

Keywords: Bitcoin; Cryptocurrencies; Conditional correlations; Google searches data (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002956

DOI: 10.1016/j.frl.2021.102239

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