Interest in cryptocurrencies predicts conditional correlation dynamics

【Author】 Chuffart, Thomas

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】Using a Smooth Transition Conditional Correlation model with Google search data as a transition variable, I investigate correlation dynamics between a set of crypto-currencies. A major change in the correlation dynamics after the 2017 bubble burst is explained by the attention subsequently surrounding cryptocurrencies. Google searches are found to be a good predictor of correlation between cryptocurrencies and could provide useful input to portfolio management.

【Keywords】Bitcoin; Cryptocurrencies; Conditional correlations; Google searches data

【发表时间】2022 MAY

【收录时间】2022-07-10

【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