Time- and Quantile-Varying Causality between Investor Attention and Bitcoin Returns: A Rolling-Window Causality-in-Quantiles Approach

Jianqin Hang, Xu Zhang and Atila Bueno

Complexity, 2021, vol. 2021, 1-12

Abstract: This study proposes a novel approach that incorporates rolling-window estimation and a quantile causality test. Using this approach, Google Trends and Bitcoin price data are used to empirically investigate the time-varying quantile causality between investor attention and Bitcoin returns. The results show that the parameters of the causality tests are unstable during the sample period. The results also show strong evidence of quantile- and time-varying causality between investor attention and Bitcoin returns. Specifically, our results show that causality appears only in high volatility periods within the time domain, and causality presents various patterns across quantiles within the quantile domain.

Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://downloads.hindawi.com/journals/complexity/2021/5543995.pdf (application/pdf)
http://downloads.hindawi.com/journals/complexity/2021/5543995.xml (application/xml)

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:hin:complx:5543995

DOI: 10.1155/2021/5543995

Access Statistics for this article

More articles in Complexity from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().