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Tests for Causality from Internet Search to Return and Volatility of Cryptocurrency: Evidence from Causality in Moments

인터넷 검색을 통한 암호화폐 수익률 및 변동성에 대한 인과검정: 적률인과 접근

  • 정기호 (경북대학교 경제통상학부) ;
  • 하성호 (경북대학교 경영학부)
  • Received : 2020.02.25
  • Accepted : 2020.03.27
  • Published : 2020.03.31

Abstract

Purpose This study analyzes whether Internet search of cryptocurrency has a causal relationship to return and volatility of cryptocurrency. Design/methodology/approach Google Trend was used as a measure of the level of Internet search, and the parametric tests of Granger causality in the 1st moment and the 2nd moment were adopted as the analysis method. We used Bitcoin's dollar-based price, which is the No. 1 market value among cryptocurrency. Findings The results showed that the Internet search measured by Google Trends has a causal relationship to cryptocurrency in both average and volatility, while there is a difference in causality and its degree according to the search area and category that Google Trend user should set. Because the Granger causality is based on the improvement of prediction, the analysis results of this study indicate that Internet search can be used as a leading indicator in predicting return and volatility of cryptocurrency.

Acknowledgement

Supported by : 동일문화장학재단

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