Review of Corporate Finance > Vol 3 > Issue 4

Comparing Search-Engine Intensity and Regulatory Attention Impacts on Cryptocurrencies: Uncovering Important Heterogeneities

John W. Goodell, Department of Finance, College of Business, University of Akron, USA, , Andrea Paltrinieri, Department of Economics and Business Administration, Università Cattolica del Sacro Cuore, Italy, , Stefano Piserà, Department of Economics, University of Genova, Italy,
Suggested Citation
John W. Goodell, Andrea Paltrinieri and Stefano PiserĂ  (2023), "Comparing Search-Engine Intensity and Regulatory Attention Impacts on Cryptocurrencies: Uncovering Important Heterogeneities", Review of Corporate Finance: Vol. 3: No. 4, pp 571-595.

Publication Date: 11 Sep 2023
© 2023 J. W. Goodell, A. Paltrinieri and S. Piserà
JEL Codes: G11, G15, G18, G19
BitcoinEthereumRippleLitecoincryptocurrenciesGoogle Trendsregulatory announcementsFED


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In this article:
Data and Methodology 
Robustness Tests 


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.



Review of Corporate Finance, Volume 3, Issue 4 Special Issue on Cryptocurrencies and Monetary Policy: Articles Overiew
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