The dimension of popularity in the cryptocurrency market

This study investigates returns and popularity interactions for Bitcoin, Ethereum, Stellar and Monero using weekly data covering 208 weeks in the period ranging from January 3, 2016 to January 4, 2020. Google search volume data is used as a real-time proxy for popularity while vector autoregressive methodology and orthogonalized impulse response functions are employed to study the dynamics of any interactions discovered. Empirical outcomes reveal that Bitcoin and Ethereum price returns contemporaneously influence the price returns of illiquid low capitalized cryptocurrencies considered by the study. In addition, Google search activity about Bitcoin, transmits to Google search activity placed for the well-known Ethereum. For the case of the much lesser capitalized Stellar and Monero, high returns attract Google search attention. Moreover, evidence against weak-form market efficiency is found in case of Monero, where its Google search activity influences Monero returns with a time lag. © The Author(s), under exclusive licence to Springer Nature Switzerland AG 2022.