 Revisiting spillovers between investor attention and cryptocurrency markets using noisy independent component analysis and transfer entropyDavid Neto The Journal of Economic Asymmetries, 2022, vol. 26, issue C Abstract: The present paper aims at revisiting the information transmission between cryptocurrency markets and investor attention in these assets. For this purpose, we use transfer entropy rather than the conventional Granger causality approach. The resort to transfer entropy is an interesting route to overcome the limitations of Granger’s concept of causality related to the linearity (and Gaussianity) assumption. In addition, a non-gaussian factor model is estimated to extract a proxy of investor attention from Google search volumes of a set of keywords. Whilst empirical studies commonly report a one-way causal effect between investor attention and price movements, our results shed light on a bidirectional spillover which can be attributed to the self-sustaining nature of price dynamics in speculative markets. Keywords: Cryptocurrency; Investor attention; Independent component analysis; Quasi-JADE algorithm; Transfer entropy (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000299 DOI: 10.1016/j.jeca.2022.e00269 Access Statistics for this article The Journal of Economic Asymmetries is currently edited by A.G. Malliaris More articles in The Journal of Economic Asymmetries from Elsevier |
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