TY - JOUR
T1 - The causal relationship between Bitcoin attention and Bitcoin returns : Evidence from the Copula-based Granger causality test
AU - Dastgir, Shabbir
AU - Demir, Ender
AU - Downing, Gareth
AU - Gozgor, Giray
AU - Lau, Chi Keung Marco
N1 - Publisher Copyright:
© 2018 Elsevier Inc.
Copyright:
Copyright 2019 Elsevier B.V., All rights reserved.
PY - 2019/3/12
Y1 - 2019/3/12
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.
UR - http://www.scopus.com/inward/record.url?scp=85046831392&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2018.04.019
DO - 10.1016/j.frl.2018.04.019
M3 - Article
AN - SCOPUS:85046831392
VL - 28
SP - 160
EP - 164
JO - Finance Research Letters
JF - Finance Research Letters
SN - 1544-6123
ER -