Relationship and causality between cryptocurrencies, commodities, currencies, indexes and web search results during and prior to the COVID-19 pandemic

IF 0.8 Q4 MANAGEMENT International Journal of Business Performance Management Pub Date : 2022-01-01 DOI:10.1504/ijbpm.2022.119569

Deni Memic, Selma Skaljic Memic, M.N.S. Mohamed Noor Saif Almehairi

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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.

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在COVID-19大流行期间和之前，加密货币、商品、货币、指数和网络搜索结果之间的关系和因果关系

我们观察了加密货币与商品、货币、股票指数和网络搜索结果之间的关系和因果关系。我们使用比特币和以太坊的价格作为加密货币，原油和黄金的价格作为大宗商品，欧元-美元，欧元-瑞士法郎的汇率作为货币，道琼斯工业平均指数作为市场指数，谷歌趋势®数据作为全球网络搜索结果的衡量标准。我们发现，在COVID-19期间，比特币与网络搜索结果的相关性从高度正相关变为低负相关。研究结果表明，比特币和以太坊的价格可以使用商品、货币、指数和网络搜索结果的不同组合来建模，网络搜索结果和道琼斯工业平均指数在同时和提前一天都表现出最好的预测能力。我们表现最好的模型能够分别解释超过95%和90%的比特币和以太坊价格波动。我们还发现了强有力的证据，表明网络搜索流量影响比特币和以太坊的价格，以及黄金对比特币和欧元/瑞郎对以太坊的影响。

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来源期刊

International Journal of Business Performance Management MANAGEMENT-

CiteScore

1.90

自引率

10.00%

发文量

期刊介绍： The most distinctive characteristic of a high performance organisation is a strong commitment to explore innovative thinking as a means of delivering a breakthrough in performance. IJBPM aims to examine both hard and soft perspectives in managing business performance, in both public and corporate organisations. Topics covered include: -Business strategy and business process re-engineering Corporate culture- Education and training, organisational learning- Ethical and environmental issues- Intellectual assets management- Innovation and knowledge management- Internet/intranet- Operations strategy- Outsourcing and strategic alliances- Modelling techniques- Performance benchmarking and measurement- Productivity and quality- Public sector management- Technological change and impact- Virtual team working.