Based mainly on daily data, this paper presents the first attempt at using variables constructed from different types of Baidu Indices from China, along with the amount of activity on Google and Reddit, to predict cryptocurrency returns, in particular Bitcoin and Ethereum, after controlling for the effect of economy-wide variables. The way of utilizing the Baidu Index in this paper is new in the field of asset pricing. Consistent with China being a relevant market in the cryptocurrency realm, some variables constructed from the Baidu Index are found to be better predictors than the alternatives. With the Baidu Index, I also show that the characteristics of cryptocurrency actors changed after a regulatory shock to the cryptocurrency market in China.
Search Authors in
