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Abstract
Cryptocurrency has emerged globally as the most profitable investment asset of the decade. The media exposure and reportage on cryptocurrency are frequent, and it seems that prices of cryptocurrencies could only rise higher. In today's digital world, any individual's first go-to information-seeking platform is the Google search engine. Thus, it is imperative to understand how Google's search trend affects an investable asset and its market as a whole. Researchers have explored varied sentiment measurement proxies such as news coverage, Facebook and Twitter posts, and, most importantly, Google searches. Numerous research studies show increasing interest in Google search volume and its predictive ability to understand investment returns and economic outcomes. In a behavioural finance context, the present research uses Pearson's correlation and panel regression to examine the association of cryptocurrency returns (Bitcoin, Ethereum, and Ripple) and their varied characteristics with the Google search intensity. The study's findings reveal that investors searching for information on Cryptocurrency online drive the price increase in cryptocurrency and push the trading volume up and increase the volatility of the cryptocurrency returns. Furthermore, investor sentiment has a statistically significant impact on cryptocurrencies' trading volume and weekly volatility in periods of high or greedy investor sentiment. The findings imply that the 'price pressure hypothesis' given by Barber and Odean (2008) as a stock market research finding is also present in the cryptocurrency market.
Keywords: Google trends, Cryptocurrency, Investor attention, Volatility, Trading volume.
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1. Introduction
Since 2004, Google insights have provided access to the relative internet search traffic globally or in a specific country for each query word submitted to Google. We all know that an investor seeking information about something inputs related terms and keywords in Google or any search engine. And by far, Google Search is the most sought-after search engine on the web. In order to measure the volume of searches on specific terms on the Google search engine, Google has launched Google Trends. In recent years, Google Trends data has been widely used as a research tool in several studies as a proxy or measure for adoption rate, interest, or attention by investors/customers in the stock market or cryptocurrency market, including research on spreading epidemics and diseases.
In the recent past decade, cryptocurrency...