Relationship and causality between cryptocurrencies, commodities, currencies, indexes and web search results during and prior to the COVID-19 pandemic
by Deni Memic; Selma Skaljic-Memic; M.N.S. Mohamed Noor Saif Almehairi
International Journal of Business Performance Management (IJBPM), Vol. 23, No. 1/2, 2022

Abstract: We observe the relationship and causality between cryptocurrencies on one, and commodities, currencies, equity indexes and web search results on the other side. We use prices of Bitcoin and Ethereum for cryptocurrencies, prices of crude oil and gold for commodities, Euro-US Dollar, Euro-Swiss Franc exchange rates for currencies, Dow Jones Industrial Average for market index and Google Trends® data as a measure of worldwide web search results for cryptocurrencies of interest. We find that Bitcoin and web search results correlation went from highly positive to low negative during the COVID-19 period. The results of the study show that the price of Bitcoin and Ethereum can be modelled using different combinations of commodities, currencies, indexes and web search results, with web search results and Dow Jones Industrial Average exhibiting best predictive power both concurrently and one day in advance. Our best performing models were able to explain more than 95% and 90% of Bitcoin and Ethereum price variability respectively. We also find strong evidence of web search traffic impacting both Bitcoin and Ethereum prices at all tested lags, as well as some evidence of gold impact on Bitcoin and EUR/CHF impact on Ethereum.

Online publication date: Thu, 09-Dec-2021

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Business Performance Management (IJBPM):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?


Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com