Abstract
Using search engine data from Google Trends alongside dates of
US regulatory announcements, we comparatively investigate the
nature of search-engine intensity and regulatory attention impacts
on weekly volatility/returns of selected cryptocurrencies. Consistent
with cryptocurrencies having an individual investor base, we
find Google Trends volume is more impacting than regulatory announcements.
However, while we evidence across cryptocurrencies
a homogenous univariate and dynamic positive correlation between
returns/volatilities and search engine intensity, we contrastingly
find cryptocurrencies respond heterogeneously to regulatory announcements.
Results indicate that Ethereum, and to a lesser
extent Ripple and Litecoin, are important diversifiers to Bitcoin
with respect to regulatory risk, with Bitcoin more vulnerable to
regulatory shocks at lower (higher) levels of volatility (returns).
Our findings should be of great interest to investors seeking ways
to optimally include cryptocurrencies into portfolios, as well as to
scholars interested more generally in distinctions with respect to
market outcomes of investor sentiment versus regulatory sentiment.
Lingua originale | English |
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pagine (da-a) | 571-595 |
Numero di pagine | 25 |
Rivista | Review of Corporate Finance |
Volume | 3 |
DOI | |
Stato di pubblicazione | Pubblicato - 2023 |
Keywords
- Bitcoin
- Ethereum
- FED
- Ripple
- cryptocurrencies
- google trends
- regulatory announcements