The link between Bitcoin and Google Trends attention

9 Pages Posted: 15 Jun 2021

See all articles by Nektarios Aslanidis

Nektarios Aslanidis

Universitat Rovira Virgili

Aurelio F. Bariviera

Rovira i Virgili University - Department of Business

Óscar G. López

affiliation not provided to SSRN

Date Written: June 13, 2021

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: Cryptocurrencies, Google Trends, transfer entropy, market attention

JEL Classification: G01, G14

Suggested Citation

Aslanidis, Nektarios and Bariviera, Aurelio F. and G. López, Óscar, The link between Bitcoin and Google Trends attention (June 13, 2021). Available at SSRN: https://ssrn.com/abstract=3866250 or http://dx.doi.org/10.2139/ssrn.3866250

Nektarios Aslanidis (Contact Author)

Universitat Rovira Virgili ( email )

Tarragona
Spain

Aurelio F. Bariviera

Rovira i Virgili University - Department of Business ( email )

Av. Universitat, 1
Reus, Tarragona 43204
Spain
+34 977759833 (Phone)
+34 977759810 (Fax)

HOME PAGE: http://www.aureliofernandez.net

Óscar G. López

affiliation not provided to SSRN

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