EconPapers    
Economics at your fingertips  
 

The link between cryptocurrencies and Google Trends attention

Nektarios Aslanidis, Aurelio Fernandez Bariviera () and Óscar G. López

Finance Research Letters, 2022, vol. 47, issue PA

Abstract: This paper revisits the linkage between cryptocurrencies and public disclosed preferences, proxied by online searches. We show that cryptocurrencies are not related to a general uncertainty index as measured by the Google Trends data by Castelnuovo and Tran (2017). Instead, cryptocurrencies are linked to a Google Trends attention measure specific for this market. In particular, we find a bidirectional flow of information between Google Trends attention and cryptocurrency returns up to six days. Moreover, information flows from cryptocurrency volatility to Google Trends attention seem to be larger than those in the other direction. Finally, we report a significant tail dependence between cryptocurrency returns and Google Trends. These relations hold for the five cryptocurrencies analyzed and different compositions of the proposed Google Trends Cryptocurrency index.

Keywords: Cryptocurrencies; Google Trends; Transfer entropy; Market attention (search for similar items in EconPapers)
JEL-codes: C4 G01 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612321005833
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:47:y:2022:i:pa:s1544612321005833

DOI: 10.1016/j.frl.2021.102654

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 ().

 
Page updated 2022-09-28
Handle: RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005833