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The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test

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  • Dastgir, Shabbir
  • Demir, Ender
  • Downing, Gareth
  • Gozgor, Giray
  • Lau, Chi Keung Marco

Abstract

This paper examines the causal relationship between Bitcoin attention (measured by the Google Trends search queries) and Bitcoin returns for the period from January 1, 2013, to December 31, 2017. For this purpose, we employ the Copula-based Granger Causality in Distribution (CGCD) test. After implementing various robustness checks, we observe that there is a bi-directional causal relationship between Bitcoin attention and Bitcoin returns with the exception of the central distributions from 40% to 80%. To put it differently, the bidirectional causality mainly exists in the left tail (poor performance) and the right tail (superior performance) of the distribution.

Suggested Citation

  • Dastgir, Shabbir & Demir, Ender & Downing, Gareth & Gozgor, Giray & Lau, Chi Keung Marco, 2019. "The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test," Finance Research Letters, Elsevier, vol. 28(C), pages 160-164.
    • Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:160-164
    DOI: 10.1016/j.frl.2018.04.019
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    More about this item

    Keywords

    Bitcoin; Cryptocurrencies; Google trends; Causality analysis; Granger causality in distribution; Copula approach;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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