Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment

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buir.contributor.authorSensoy, Ahmet
buir.contributor.orcidSensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage9en_US
dc.citation.spage1en_US
dc.citation.volumeNumber36en_US
dc.contributor.authorBanerjee, Ameet Kumar
dc.contributor.authorAkhtaruzzaman, Md
dc.contributor.authorDionisio, Andreia
dc.contributor.authorAlmeida, Dora
dc.contributor.authorSensoy, Ahmet
dc.date.accessioned2023-02-25T13:11:00Z
dc.date.available2023-02-25T13:11:00Z
dc.date.issued2022-12
dc.departmentDepartment of Managementen_US
dc.description.abstractThe 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.en_US
dc.description.provenanceSubmitted by Cem Çağatay Akgün (cem.akgun@bilkent.edu.tr) on 2023-02-25T13:11:00Z No. of bitstreams: 1 Nonlinear_nexus_between_cryptocurrency_returns_and_COVID-19_news_sentiment.pdf: 600218 bytes, checksum: 541c1fd4052403cb68c5954581cb8900 (MD5)en
dc.description.provenanceMade available in DSpace on 2023-02-25T13:11:00Z (GMT). No. of bitstreams: 1 Nonlinear_nexus_between_cryptocurrency_returns_and_COVID-19_news_sentiment.pdf: 600218 bytes, checksum: 541c1fd4052403cb68c5954581cb8900 (MD5) Previous issue date: 2022-12en
dc.identifier.doi10.1016/j.jbef.2022.100747en_US
dc.identifier.issn22146350
dc.identifier.urihttp://hdl.handle.net/11693/111741
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://dx.doi.org/10.1016/j.jbef.2022.100747en_US
dc.source.titleJournal of Behavioral and Experimental Financeen_US
dc.subjectCOVID-19 news sentimenten_US
dc.subjectPandemicen_US
dc.subjectCryptocurrenciesen_US
dc.subjectCausalityen_US
dc.subjectTransfer entropyen_US
dc.titleNonlinear nexus between cryptocurrency returns and COVID-19 news sentimenten_US
dc.typeArticleen_US

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