  This paper shows that Bitcoin is not correlated to a general uncertainty
index as measured by the Google Trends data of Castelnuovo and Tran (2017).
Instead, Bitcoin is linked to a Google Trends attention measure specific for
the cryptocurrency market. First, we find a bidirectional relationship between
Google Trends attention and Bitcoin returns up to six days. Second, information
flows from Bitcoin volatility to Google Trends attention seem to be larger than
information flows in the other direction. These relations hold across different
sub-periods and different compositions of the proposed Google Trends
Cryptocurrency index.

Statistical Finance