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

Authors: Deni Memic; Selma Skaljic-Memic; M.N.S. Mohamed Noor Saif Almehairi

Addresses: Higher Colleges of Technology, Business Division, Academic City, Dubai, United Arab Emirates ' Central Bank of Bosnia and Herzegovina, Sarajevo, Bosnia and Herzegovina ' Higher Colleges of Technology, Business Division Student, Academic City, Dubai, United Arab Emirates

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.

Keywords: cryptocurrencies; commodities; currencies; indexes; web search; COVID-19.

DOI: 10.1504/IJBPM.2022.119569

International Journal of Business Performance Management, 2022 Vol.23 No.1/2, pp.99 - 117

Received: 23 May 2020
Accepted: 16 Nov 2020

Published online: 17 Nov 2021 *

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