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The link between cryptocurrencies and Google Trends attention

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  • Aslanidis, Nektarios
  • Fernández Bariviera, Aurelio
  • López, Óscar G.

Abstract

This paper revisits the linkage between cryptocurrencies and public disclosed preferences, proxied by online searches. We show that cryptocurrencies are not related to a general uncertainty index as measured by the Google Trends data by Castelnuovo and Tran (2017). Instead, cryptocurrencies are linked to a Google Trends attention measure specific for this market. In particular, we find a bidirectional flow of information between Google Trends attention and cryptocurrency returns up to six days. Moreover, information flows from cryptocurrency volatility to Google Trends attention seem to be larger than those in the other direction. Finally, we report a significant tail dependence between cryptocurrency returns and Google Trends. These relations hold for the five cryptocurrencies analyzed and different compositions of the proposed Google Trends Cryptocurrency index. Keywords: Cryptocurrencies, Google Trends, transfer entropy, market attention JEL: C4, G01, G14

Suggested Citation

  • Aslanidis, Nektarios & Fernández Bariviera, Aurelio & López, Óscar G., 2021. "The link between cryptocurrencies and Google Trends attention," Working Papers 2072/534919, Universitat Rovira i Virgili, Department of Economics.
    • Handle: RePEc:urv:wpaper:2072/534919
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    Cited by:

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    4. Lyócsa, Štefan & Plíhal, Tomáš, 2022. "Russia’s ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention," Finance Research Letters, Elsevier, vol. 48(C).
    5. Federico D'Amario & Milos Ciganovic, 2022. "Forecasting Cryptocurrencies Log-Returns: a LASSO-VAR and Sentiment Approach," Papers 2210.00883, arXiv.org.
    6. Lee, Seungju & Lee, Jaewook & Lee, Yunyoung, 2023. "Dissecting the Terra-LUNA crash: Evidence from the spillover effect and information flow," Finance Research Letters, Elsevier, vol. 53(C).
    7. Khalfaoui, Rabeh & Gozgor, Giray & Goodell, John W., 2023. "Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis," Finance Research Letters, Elsevier, vol. 52(C).
    8. Birindelli, Giuliana & Chiappini, Helen & Jalal, Raja Nabeel-Ud-Din, 2023. "SFDR, investor attention, and European financial markets," Finance Research Letters, Elsevier, vol. 56(C).
    9. Ştefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2023. "Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.
    10. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).

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    Keywords

    Criptomoneda; 336 - Finances. Banca. Moneda. Borsa;

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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