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

查看全文 作　　者：Xun [1]Zhang;Fengbin [1]Lu;Rui [1]Tao;Shouyang [1]Wang

机构地区：[1]CEFS,MADIS,Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China

出　　处：《Financial Innovation》索引2021年第7卷第1期,共19页

基　　金：The paper received financial support from the National Natural Science Foundation of China(Nos.71422015,71871213);the National Center for Mathematics and Interdisciplinary Sciences,Chinese Academy of Sciences. 摘　　要：The 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

相关文献

参考文献（48）
引证文献（1）
耦合文献（0）

参考文献(48)

引证文献(1)

互联网出版许可证新出网证(渝)字10号全国400电话 - 免长途话费

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

参考文献(48)

引证文献(1)

用户提示