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 Marco Lau

    Research output: Contribution to journalArticlepeer-review

    43 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 languageEnglish
    Pages (from-to)160-164
    Number of pages5
    JournalFinance Research Letters
    Volume28
    DOIs
    Publication statusPublished - 12 Mar 2019

    Bibliographical note

    Publisher Copyright:
    © 2018 Elsevier Inc.

    Copyright:
    Copyright 2019 Elsevier B.V., All rights reserved.

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