Interest in cryptocurrencies predicts conditional correlation dynamics

被引：9
|
作者：
Chuffart, Thomas [1 ,2 ]
机构：
[1] Univ Paris Nanterre, EconomiX CNRS, Nanterre, France
[2] Univ Franche Comte, CRESE, Besancon, France
来源：
FINANCE RESEARCH LETTERS | 2022年 / 46卷
关键词：
Bitcoin; Cryptocurrencies; Conditional correlations; Google searches data; BITCOIN; CURRENCY;
D O I：
10.1016/j.frl.2021.102239
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：7
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