The link between cryptocurrencies and Google Trends attention

Nektarios Aslanidis, Aurelio Fernandez Bariviera and Óscar G. López

Working Papers from Universitat Rovira i Virgili, Department of Economics

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 JEL: C4, G01, G14

Keywords: Criptomoneda; 336 - Finances. Banca. Moneda. Borsa (search for similar items in EconPapers)
Date: 2021
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http://hdl.handle.net/2072/534919

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Journal Article: The link between cryptocurrencies and Google Trends attention (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:urv:wpaper:2072/534919

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