Are Google searches making the Bitcoin market run amok? A tail event analysis
The North American Journal of Economics and Finance, 2021, vol. 57, issue C
This paper aims at detecting extreme value spillover between the large co-movements of Bitcoin returns and the rate of change in investor attention (for which Google search is used as a proxy). For this purpose, we use the concept of the Granger causality in tail event. Thus, we test whether positive, or negative, extreme values of rate of change in Google searches have a significant predictive power for negative, or positive, large values of Bitcoin returns, and vice versa . Our results shed light on a unidirectional causality effect from the returns to investor attention in the first place, before becoming bidirectional when the time delay increases.
Keywords: Bitcoin; Media attention; Quantile-dependent measure of dependence; Conditional autoregressive quantile model; Granger causality in tail event (search for similar items in EconPapers)
JEL-codes: C32 G1 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000796
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