The time-varying causal relationship between the Bitcoin market and internet attention

doi:10.1186/s40854-021-00275-9

CSpace

	The time-varying causal relationship between the Bitcoin market and internet attention
	Zhang,Xun; Lu,Fengbin; Tao,Rui; Wang,Shouyang
	2021-09-01
发表期刊	Financial Innovation
卷号	7 期号:1
摘要	AbstractThe increasing attention on Bitcoin since 2013 prompts the issue of possible evidence for a causal relationship between the Bitcoin market and internet attention. Taking the Google search volume index as the measure of internet attention, time-varying Granger causality between the global Bitcoin market and internet attention is examined. Empirical results show a strong Granger causal relationship between internet attention and trading volume. Moreover, they indicate, beginning in early 2018, an even stronger impact of trading volume on internet attention, which is consistent with the rapid increase in Bitcoin users following the 2017 Bitcoin bubble. Although Bitcoin returns are found to strongly affect internet attention, internet attention only occasionally affects Bitcoin returns. Further investigation reveals that interactions between internet attention and returns can be amplified by extreme changes in prices, and internet attention is more likely to lead to returns during Bitcoin bubbles. These empirical findings shed light on cryptocurrency investor attention theory and imply trading strategy in Bitcoin markets.
关键词	Bitcoin Internet attention Google trends Time-varying granger causality Multiple bubbles test G11 G15 C15
DOI	10.1186/s40854-021-00275-9
语种	英语
WOS记录号	BMC:10.1186/s40854-021-00275-9
出版者	Springer Berlin Heidelberg
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/58518
专题	中国科学院数学与系统科学研究院
通讯作者	Zhang,Xun
作者单位	Chinese Academy of Sciences; CEFS, MADIS, Academy of Mathematics and Systems Science
推荐引用方式 GB/T 7714	Zhang,Xun,Lu,Fengbin,Tao,Rui,et al. The time-varying causal relationship between the Bitcoin market and internet attention[J]. Financial Innovation,2021,7(1).
APA	Zhang,Xun,Lu,Fengbin,Tao,Rui,&Wang,Shouyang.(2021).The time-varying causal relationship between the Bitcoin market and internet attention.Financial Innovation,7(1).
MLA	Zhang,Xun,et al."The time-varying causal relationship between the Bitcoin market and internet attention".Financial Innovation 7.1(2021).