Does Market Attention Affect Bitcoin Returns and Volatility?

Figá-Talamanca, G. & Patacca, M., Does market attention affect Bitcoin returns and volatility?, Decisions in Economics and Finance (2019). Doi.org/10.1007/s10203-019-00258-7

19 Pages Posted: 26 Mar 2018 Last revised: 25 Jul 2019

See all articles by Gianna Figà-Talamanca

Gianna Figà-Talamanca

University of Perugia - Department of Economics

Marco Patacca

University of Verona - Department of Economics

Date Written: February 23, 2018

Abstract

In this paper we measure market attention by applying several filters on time series for the trading volume or the SVI Google searches index. We analyze relative impact of these measures either on the mean or on the variance of Bitcoin returns by fitting non linear econometric models to historical data from January 1, 2012 to October 31, 2017; two non-overlapping subsamples are also considered. Outcomes confirm our conjecture that market attention has an impact on Bitcoin returns. Specifically, trading volume related measures affect both the mean and the conditional variance of Bitcoin returns while internet searches volume mainly affects the conditional variance of returns.

Keywords: Bitcoin, Market Attention, SVI Google Index, ARMA, GARCH

JEL Classification: C22, C52, C58

Suggested Citation

Figà-Talamanca, Gianna and Patacca, Marco, Does Market Attention Affect Bitcoin Returns and Volatility? (February 23, 2018). Figá-Talamanca, G. & Patacca, M., Does market attention affect Bitcoin returns and volatility?, Decisions in Economics and Finance (2019). Doi.org/10.1007/s10203-019-00258-7, Available at SSRN: https://ssrn.com/abstract=3148018 or http://dx.doi.org/10.2139/ssrn.3148018

Gianna Figà-Talamanca (Contact Author)

University of Perugia - Department of Economics ( email )

via Pascoli, 20
PG 06123 Perugia, 06123
Italy

Marco Patacca

University of Verona - Department of Economics ( email )

Via dell'Artigliere, 8
37129 Verona
Italy

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