Forecasting Cryptocurrency Returns and Volume Using Search Engines

Financial Innovation 5 (2), pp. 1 - 13.

13 Pages Posted: 20 Jan 2019

See all articles by Muhammad Ali Nasir

Muhammad Ali Nasir

Leeds Beckett University - Leeds Business School

Toan Luu Duc Huynh

Ho Chi Minh City University of Economics and Finance; WHU - Otto Beisheim School of Management

Nguyen

affiliation not provided to SSRN

Duy Duong

affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Date Written: January 10, 2019

Abstract

In the context of the debate on the role of cryptocurrencies in the economy as well as their dynamics and forecasting, this brief study analyzes the predictability of Bitcoin volume and returns using Google search values. We employed a rich set of established empirical approaches, including a VAR framework, a copulas approach, and non-parametric drawings, to capture a dependence structure. Using a weekly dataset from 2013 to 2017, our key results suggest that the frequency of Google searches leads to positive returns and a surge in Bitcoin trading volume. Shocks to search values have a positive effect, which persisted for at least a week. Our findings contribute to the debate on cryptocurrencies/Bitcoins and have profound implications in terms of understanding their dynamics, which are of special interest to investors and economic policymakers.

Keywords: Financial Innovation, Forecasting, Blockchain, Google Search Values, Bitcoin, Cryptocurrencies

JEL Classification: C58, G10, G14

Suggested Citation

Nasir, Muhammad Ali and Huynh, Toan Luu Duc and Nguyen, Sang Phu and Duong, Duy, Forecasting Cryptocurrency Returns and Volume Using Search Engines (January 10, 2019). Financial Innovation 5 (2), pp. 1 - 13. , Available at SSRN: https://ssrn.com/abstract=3314000

Muhammad Ali Nasir (Contact Author)

Leeds Beckett University - Leeds Business School ( email )

Leeds Beckett University
University 9 Queen Square ,City Campus
Leeds, LS1 3HE
United Kingdom

Toan Luu Duc Huynh

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen D├Čnh Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

WHU - Otto Beisheim School of Management ( email )

Burgplatz 2
Vallendar, 56179
Germany

Sang Phu Nguyen

affiliation not provided to SSRN

Duy Duong

affiliation not provided to SSRN

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