Abstract
| 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 | |
| Publication status | Published - Mar 2019 |
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The causal relationship between Bitcoin attention and Bitcoin returns : Evidence from the Copula-based Granger causality test. / Dastgir, Shabbir; Demir, Ender; Downing, Gareth; Gozgor, Giray; Lau, Chi Keung.
In: Finance Research Letters, Vol. 28, 03.2019, p. 160-164.Research output: Contribution to journal › Article
TY - JOUR
T1 - The causal relationship between Bitcoin attention and Bitcoin returns
T2 - Evidence from the Copula-based Granger causality test
AU - Dastgir, Shabbir
AU - Demir, Ender
AU - Downing, Gareth
AU - Gozgor, Giray
AU - Lau, Chi Keung
PY - 2019/3
Y1 - 2019/3
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
UR - https://www.scopus.com/record/display.uri?eid=2-s2.0-85046831392&origin=resultslist&sort=plf-f&src=s&st1=The+causal+relationship+between+Bitcoin+attention+and+Bitcoin+returns%3a+Evidence+from+the+Copula-based+Granger+causality+test&st2=&sid=9704494d70aa0e4ed25c01d71910a4d2&sot=b&sdt=b&sl=139&s=TITLE-ABS-KEY%28The+causal+relationship+between+Bitcoin+attention+and+Bitcoin+returns%3a+Evidence+from+the+Copula-based+Granger+causality+test%29&relpos=0&citeCnt=6&searchTerm=
U2 - 10.1016/j.frl.2018.04.019
DO - 10.1016/j.frl.2018.04.019
M3 - Article
VL - 28
SP - 160
EP - 164
JO - Finance Research Letters
JF - Finance Research Letters
SN - 1544-6123
ER -