Information demand and cryptocurrency market activity

Abstract

This paper studies the relationship between information demand measured by Google search volume index, price returns, and trading volume for five major cryptocurrencies. We find that past information demand flows significantly influence the volume of all cryptocurrencies except for Litecoin. Moreover, trading volumes are found to Granger cause the information demand flows of Bitcoin, Ripple, and Litecoin, while previous day’s returns significantly influence the information demand flows of all the altcoins.

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Authors/Creators:	Katsiampa, P. https://orcid.org/0000-0003-0477-6503 Moutsianas, K. Urquhart, A.
Copyright, Publisher and Additional Information:	© 2019 Elsevier. This is an author produced version of a paper subsequently published in Economics Letters. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/).
Keywords:	Information demand flows; Bitcoin; Cryptocurrency; Volume; VAR
Dates:	Accepted: 21 September 2019 Published (online): 30 September 2019 Published: December 2019
Institution:	The University of Sheffield
Academic Units:	The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield)
Depositing User:	Symplectic Sheffield
Date Deposited:	01 Oct 2019 10:36
Last Modified:	16 Dec 2021 10:44
Status:	Published
Publisher:	Elsevier
Refereed:	Yes
Identification Number:	https://doi.org/10.1016/j.econlet.2019.108714

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Information demand and cryptocurrency market activity

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