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

doi:10.1016/j.frl.2018.04.019

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 journal › Article › peer-review

159 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 language	English
Pages (from-to)	160-164
Number of pages	5
Journal	Finance Research Letters
Volume	28
Early online date	28 Apr 2018
DOIs	https://doi.org/10.1016/j.frl.2018.04.019
Publication status	Published - 1 Mar 2019

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Bitcoin_Google TrendsAccepted author manuscript, 529 KBLicence: CC BY-NC-ND

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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.",

keywords = "Bitcoin, Cryptocurrencies, Google trends, Causality analysis, Granger causality in distribution, Copula approach",

author = "Shabbir Dastgir and Ender Demir and Gareth Downing and Giray Gozgor and Lau, {Chi Keung}",

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AU - Downing, Gareth

AU - Gozgor, Giray

AU - Lau, Chi Keung

PY - 2019/3/1

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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.

KW - Bitcoin

KW - Cryptocurrencies

KW - Google trends

KW - Causality analysis

KW - Granger causality in distribution

KW - Copula approach

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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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