Katsiampa, P. orcid.org/0000-0003-0477-6503, Moutsianas, K. and Urquhart, A. (2019) Information demand and cryptocurrency market activity. Economics Letters, 185. 108714. ISSN 0165-1765
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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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: |
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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: | 10.1016/j.econlet.2019.108714 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:151554 |
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