Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment

Date
2022-12
Advisor
Instructor
Source Title
Journal of Behavioral and Experimental Finance
Print ISSN
22146350
Electronic ISSN
Publisher
Elsevier
Volume
36
Issue
Pages
1 - 9
Language
English
Type
Article
Journal Title
Journal ISSN
Volume Title
Abstract

The paper examines how various COVID-19 news sentiments differentially impact the behaviour of cryptocurrency returns. We used a nonlinear technique of transfer entropy to investigate the relationship between the top 30 cryptocurrencies by market capitalisation and COVID-19 news sentiment. Results show that COVID-19 news sentiment influences cryptocurrency returns. The nexus is unidirectional from news sentiment to cryptocurrency returns, in contrast to past findings. These results have practical implications for policymakers and market participants in understanding cryptocurrency market dynamics under extremely stressful market conditions.

Course
Other identifiers
Book Title
Keywords
COVID-19 news sentiment, Pandemic, Cryptocurrencies, Causality, Transfer entropy
Citation
Published Version (Please cite this version)