Trading of Bitcoin is spread about multiple venues where buying and selling is offered in various currencies. However, all exchanges trade one common good and by the law of one price, the different prices should not deviate in the long run. In this context we are interested in which platform is...

We study how retail investor attention influences the joint evolution of cryptocurrency prices. The co-movement is measured using realized correlation and a R-squared-based measure. We find that rising attention as proxied by Google search volume indices or Twitter tweet counts Granger-causes an...

We evaluate the usefulness of Google search volume to predict returns and volatility of multiple cryptocurrencies. The analysis is based on a new algorithm which allows to construct mulit-annual, consistent time series of Google search volume indices (SVIs) on various frequencies. As...

This article analyzes asymmetric volatility effects for the 20 largest cryptocurrencies and reports a very different asymmetry compared to equity markets: positive shocks increase the volatility by more than negative shocks. We explain this atypical effect for financial assets with trading...