Time- and Quantile-Varying Causality between Investor Attention and Bitcoin Returns: A Rolling-Window Causality-in-Quantiles Approach | Zendy

Jianqin Hang | Zendy; Xu Zhang | Zendy

Open Access

Time- and Quantile-Varying Causality between Investor Attention and Bitcoin Returns: A Rolling-Window Causality-in-Quantiles Approach

Author(s) -

Jianqin Hang,

Xu Zhang

Publication year - 2021

Publication title -

complexity

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.447

H-Index - 61

eISSN - 1099-0526

pISSN - 1076-2787

DOI - 10.1155/2021/5543995

Subject(s) - quantile , causality (physics) , econometrics , volatility (finance) , economics , granger causality , sample (material) , estimation , chemistry , physics , management , chromatography , quantum mechanics

This study proposes a novel approach that incorporates rolling-window estimation and a quantile causality test. Using this approach, Google Trends and Bitcoin price data are used to empirically investigate the time-varying quantile causality between investor attention and Bitcoin returns. The results show that the parameters of the causality tests are unstable during the sample period. The results also show strong evidence of quantile- and time-varying causality between investor attention and Bitcoin returns. Specifically, our results show that causality appears only in high volatility periods within the time domain, and causality presents various patterns across quantiles within the quantile domain.

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