The link between Bitcoin and Google Trends attention
Statistical Finance
2021-06-15 v1
Abstract
This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a Google Trends attention measure specific for the cryptocurrency market. First, we find a bidirectional relationship between Google Trends attention and Bitcoin returns up to six days. Second, information flows from Bitcoin volatility to Google Trends attention seem to be larger than information flows in the other direction. These relations hold across different sub-periods and different compositions of the proposed Google Trends Cryptocurrency index.
Keywords
Cite
@article{arxiv.2106.07104,
title = {The link between Bitcoin and Google Trends attention},
author = {Nektarios Aslanidis and Aurelio F. Bariviera and Óscar G. López},
journal= {arXiv preprint arXiv:2106.07104},
year = {2021}
}
Comments
9 pages, 5 figures