  The evolution of the pandemic and people's concern over it have an impact on
the Bitcoin market, while the extent of individualism could differentiate
investor behaviors in the financial market during the pandemic. This paper
examines whether public attention to COVID-19 in individualistic countries
versus collectivistic countries Granger causes Bitcoin returns between February
11, 2020 and May 09, 2022. To this end, eight large economies with a
individualistic or collectivistic tradition are chosen for analyses. By using
rolling and recursive-evolving algorithms, it accounts for the timing of
COVID-19 issues that vary by country and circumvents the potential estimation
bias that a traditional Granger causality test may suffer due largely to
Google's sampling variation for different time frames. In general,
collectivistic countries are found to have stronger causal impacts on Bitcoin
returns than individualistic countries.
