The causal relationship between Bitcoin attention and Bitcoin returns

Evidence from the Copula-based Granger causality test

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

Research output: Contribution to journalArticle

13 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)160-164
Number of pages5
JournalFinance Research Letters
Volume28
Early online date28 Apr 2018
DOIs
Publication statusPublished - Mar 2019

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Copula
Granger causality test
Granger causality
Causality
Google
Robustness
Query

Cite this

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title = "The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test",
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.",
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AU - Demir, Ender

AU - Downing, Gareth

AU - Gozgor, Giray

AU - Lau, Chi Keung

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N2 - 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.

AB - 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.

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KW - Cryptocurrencies

KW - Google trends

KW - Causality analysis

KW - Granger causality in distribution

KW - Copula approach

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