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Nonlinear nexus between cryptocurrency returns and COVID–19 COVID-19 news sentiment
Banerjee, Ameet Kumar Akhtaruzzaman, Md Dionisio, Andreia Almeida, Dora Sensoy, Ahmet
Banerjee, Ameet Kumar
Akhtaruzzaman, Md
Dionisio, Andreia
Almeida, Dora
Sensoy, Ahmet
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.
Keywords
COVID-19 news sentiment, pandemic, cryptocurrencies, causality, transfer entropy
Date
2022
Type
Journal article
Journal
Journal of Behavioral and Experimental Finance
Book
Volume
36
Issue
Page Range
1-9
Article Number
Article 100747
ACU Department
Peter Faber Business School
Faculty of Law and Business
Faculty of Law and Business
Collections
Relation URI
Source URL
Event URL
Open Access Status
License
All rights reserved
File Access
Controlled