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Information demand and cryptocurrency market activity

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Katsiampa, P., Moutsianas, K. and Urquhart, A. ORCID: https://orcid.org/0000-0001-8834-4243 (2019) Information demand and cryptocurrency market activity. Economics Letters, 185. 108714. ISSN 0165-1765

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To link to this item DOI: 10.1016/j.econlet.2019.108714

Abstract/Summary

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.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:86347
Publisher:Elsevier
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