Attention to Authority: The behavioural finance of Covid-19

Matt Burke, John Fry, Sean Kemp and Drew Woodhouse

Finance Research Letters, 2022, vol. 49, issue C

Abstract: In this paper we investigate the predictability of cryptocurrency returns following increases in Covid-19 cases/deaths. We find that the rate of government intervention moderates the impact that Covid-19 cases/deaths have on cryptocurrency returns. We show that in periods of tightening government intervention, increases in Covid-19 cases positively predict cryptocurrency returns. We argue that this is due to investors imputing their expectations of the pandemic through a ‘combined’ signal.

Keywords: Covid-19; Asset pricing; Cryptocurrency (search for similar items in EconPapers)
JEL-codes: E44 G12 G40 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003087

DOI: 10.1016/j.frl.2022.103081

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