The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test


Dastgir S., DEMİR E. , Downing G., GÖZGÖR G. , Lau C. K. M.

FINANCE RESEARCH LETTERS, cilt.28, ss.160-164, 2019

  • Cilt numarası: 28
  • Basım Tarihi: 2019
  • Doi Numarası: 10.1016/j.frl.2018.04.019
  • Dergi Adı: FINANCE RESEARCH LETTERS
  • Sayfa Sayısı: ss.160-164

Özet

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.