The link between cryptocurrencies and Google Trends attention

This paper revisits the linkage between cryptocurrencies and public disclosed preferences, proxied by online searches. We show that cryptocurrencies are not related to a general uncertainty index as measured by the Google Trends data by Castelnuovo and Tran (2017). Instead, cryptocurrencies are linked to a Google Trends attention measure specific for this market. In particular, we find a bidirectional flow of information between Google Trends attention and cryptocurrency returns up to six days. Moreover, information flows from cryptocurrency volatility to Google Trends attention seem to be larger than those in the other direction. Finally, we report a significant tail dependence between cryptocurrency returns and Google Trends. These relations hold for the five cryptocurrencies analyzed and different compositions of the proposed Google Trends Cryptocurrency index.

Automated summary

This paper examines the relationship between cryptocurrencies and public preferences, as represented by online searches. The study finds that cryptocurrencies are associated with Google Trends attention specific to this market, rather than a general uncertainty index. The research reveals a bidirectional flow of information between Google Trends attention and cryptocurrency returns, with cryptocurrency volatility having a larger impact on Google Trends attention. Additionally, there is a significant tail dependence between cryptocurrency returns and Google Trends.