Artikel

Forecasting cryptocurrency returns and volume using search engines

In the context of the debate on the role of cryptocurrencies in the economy as well as their dynamics and forecasting, this brief study analyzes the predictability of Bitcoin volume and returns using Google search values. We employed a rich set of established empirical approaches, including a VAR framework, a copulas approach, and non-parametric drawings, to capture a dependence structure. Using a weekly dataset from 2013 to 2017, our key results suggest that the frequency of Google searches leads to positive returns and a surge in Bitcoin trading volume. Shocks to search values have a positive effect, which persisted for at least a week. Our findings contribute to the debate on cryptocurrencies/Bitcoins and have profound implications in terms of understanding their dynamics, which are of special interest to investors and economic policymakers.

Sprache
Englisch

Erschienen in
Journal: Financial Innovation ; ISSN: 2199-4730 ; Volume: 5 ; Year: 2019 ; Issue: 1 ; Pages: 1-13 ; Heidelberg: Springer

Klassifikation
Management
Thema
Financial innovation
Forecasting
Blockchain
Google search values
Bitcoin
Cryptocurrencies

Ereignis
Geistige Schöpfung
(wer)
Nasir, Muhammad Ali
Toan Luu Duc
Sang Phu Nguyen
Duy Duong
Ereignis
Veröffentlichung
(wer)
Springer
(wo)
Heidelberg
(wann)
2019

DOI
doi:10.1186/s40854-018-0119-8
Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Nasir, Muhammad Ali
  • Toan Luu Duc
  • Sang Phu Nguyen
  • Duy Duong
  • Springer

Entstanden

  • 2019

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