Bitcoin, uncertainty and internet searches


Keramiyan M., GÖKMENOĞLU KARAKAYA K.

Studies in Economics and Finance, vol.40, no.1, pp.24-42, 2023 (ESCI) identifier

  • Publication Type: Article / Article
  • Volume: 40 Issue: 1
  • Publication Date: 2023
  • Doi Number: 10.1108/sef-12-2021-0536
  • Journal Name: Studies in Economics and Finance
  • Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus, International Bibliography of Social Sciences, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit
  • Page Numbers: pp.24-42
  • Keywords: Bitcoin, Economic uncertainty related queries, Internet search volumes, Macroeconomic uncertainty, Quantile estimation
  • Ankara Haci Bayram Veli University Affiliated: Yes

Abstract

© 2022, Emerald Publishing Limited.Purpose: This paper aims to examine the predictive power of the volume of Economic Uncertainty Related Queries and the Macroeconomic Uncertainty Index on the Bitcoin returns. Design/methodology/approach: Data consists of 118 monthly observations from September 2010 to June 2020. Due to the departure of series from Gaussian distribution and the existence of outliers, the authors use the quantile analysis framework to investigate the persistency of the shocks, the long-run relationships and Granger causality among the variables. Findings: This research provides several important findings. First, the substantial differences between conventional and quantile test results stress the importance of the method selection. Second, throughout the conditional distribution of the series, stochastic properties of the variables, long-run and the causal relationships between the variables might be significantly different. Third, rich information provided by the quantile framework might help the investors design better investment strategies. Originality/value: This study differs from the previous research in terms of variable selection and econometric methodology. Therefore, it presents a more comprehensive framework that suggests implications for empirical researchers and Bitcoin investors.