Bitcoin Returns, Volatility, and Cryptocurrency-Specific Google Trends Attention

Summary

The paper examines how Bitcoin returns and volatility relate to Google Trends attention. It distinguishes attention focused specifically on cryptocurrency from a broader uncertainty measure constructed from Google search data. The reported findings do not show a relationship between Bitcoin and that general uncertainty index, while cryptocurrency-specific search attention is linked to Bitcoin market activity.

The study reports a two-way relationship between Bitcoin returns and crypto attention over horizons extending up to six days. It also finds that information flow from Bitcoin volatility to attention appears stronger than flow in the reverse direction. The reported relationships persist across different subperiods and alternative versions of the cryptocurrency attention index. These findings describe statistical relationships, not proof that searches cause returns or that attention provides a profitable trading signal; the document gives no effect sizes, model details, or trading evaluation.

Key ideas

• Bitcoin is linked to cryptocurrency-specific search attention rather than the general uncertainty measure studied.
• The paper reports bidirectional relationships between attention and Bitcoin returns over short horizons.
• Bitcoin volatility appears to convey more information to search attention than attention conveys to volatility.
• The reported patterns persist across subperiods and alternative index compositions.
• The results establish associations, not a causal mechanism or a tested trading strategy.

Tags

# The link between Bitcoin and Google Trends attention


# The link between Bitcoin and Google Trends attention









This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a Google Trends attention measure specific for the cryptocurrency market. First, we find a bidirectional relationship between Google Trends attention and Bitcoin returns up to six days. Second, information flows from Bitcoin volatility to Google Trends attention seem to be larger than information flows in the other direction. These relations hold across different sub-periods and different compositions of the proposed Google Trends Cryptocurrency index.

Shown in full with attribution under the source's licence. Licence: abstract CC0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.