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Forecasting Returns & Volume of Cryptocurrencies by Using Search Engines

In: Blockchain, Crypto Assets, and Financial Innovation

Author

Listed:
  • Muhammad Ali Nasir

    (Leeds Beckett University)

  • Toan Luu Duc Huynh

    (University of Economics Ho Chi Minh City)

  • Sang Phu Nguyen

    (Banking University of Ho Chi Minh City)

  • Duy Duong

    (Banking University of Ho Chi Minh City)

Abstract

In the context of the debate on blockchain technology and associated Cryptocurrencies, their role in the economy as well their dynamics and forecasting, this brief study has analysed the predictability of cryptocurrencies (Bitcoin) volume and returns using Google Search Values. We employed a rich set of established empirical approaches including a VAR framework, Copulas approach and non-parametric drawings for calculating dependence structure. Using weekly dataset from 2013 to 2017, our key results suggest that the frequency of Google search leads to positive returns and surge in the trading volume. The shocks to the searching value have a positive effect which persisted for at least a week. Our findings contribute to the debate on Cryptocurrencies and have profound implications in terms understanding their dynamics which are of special interest to investors and economic policymakers.

Suggested Citation

  • Muhammad Ali Nasir & Toan Luu Duc Huynh & Sang Phu Nguyen & Duy Duong, 2025. "Forecasting Returns & Volume of Cryptocurrencies by Using Search Engines," Springer Books, in: Gang Kou & Yongqiang Li & Zongyi Zhang & J. Leon Zhao & Zhi Zhuo (ed.), Blockchain, Crypto Assets, and Financial Innovation, pages 219-233, Springer.
    • Handle: RePEc:spr:sprchp:978-981-96-6839-7_8
    DOI: 10.1007/978-981-96-6839-7_8
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    More about this item

    Keywords

    Financial innovation; Forecasting; Blockchain; Google search values; Bitcoin; Cryptocurrencies;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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