Bitcoin, uncertainty and internet searches

【Author】 Keramiyan, Matin; Gokmenoglu, Korhan K.

【Source】STUDIES IN ECONOMICS AND FINANCE

【影响因子】0.000

【Abstract】Purpose This paper aims to examine the predictive power of the volume of Economic Uncertainty Related Queries and the Macroeconomic Uncertainty Index on the Bitcoin returns. Design/methodology/approach Data consists of 118 monthly observations from September 2010 to June 2020. Due to the departure of series from Gaussian distribution and the existence of outliers, the authors use the quantile analysis framework to investigate the persistency of the shocks, the long-run relationships and Granger causality among the variables. Findings This research provides several important findings. First, the substantial differences between conventional and quantile test results stress the importance of the method selection. Second, throughout the conditional distribution of the series, stochastic properties of the variables, long-run and the causal relationships between the variables might be significantly different. Third, rich information provided by the quantile framework might help the investors design better investment strategies. Originality/value This study differs from the previous research in terms of variable selection and econometric methodology. Therefore, it presents a more comprehensive framework that suggests implications for empirical researchers and Bitcoin investors.

【Keywords】Bitcoin; Macroeconomic uncertainty; Internet search volumes; Economic uncertainty related queries; Quantile estimation; G12; G15; C01; C21; C58

【发表时间】

【收录时间】2022-06-12

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币