Asymmetric dynamics between geopolitical conflict sentiment and cryptomarkets

Emmanuel Abakah, Mohammad Abdullah, Aviral Tiwari and G M Wali Ullah

Research in International Business and Finance, 2024, vol. 69, issue C

Abstract: This study investigates the influence of Russia-Ukraine war and associated economic sanctions sentiments on the returns of cryptocurrencies, NFTs, and DeFi assets. We analyse daily returns of twelve blockchain-based assets by employing quantile-on-quantile regression (QQR) and an asymmetric time-varying parameter vector autoregression (TVP-VAR) connectedness approach. The QQR reveals that the war sentiment has varying effects on the returns of digital assets, with negative (positive) impacts in bullish (bearish) markets. Notably, there is a heterogeneous effect observed in normal market conditions. Results from the TVP-VAR-based asymmetric connectedness approach demonstrate a time-varying influence of war sentiment, particularly heightened post-invasion. The war sentiment emerges as a significant transmitter (receiver) of price shocks in bullish (bearish) market conditions. These findings offer extensive implications for investors and policymakers when modelling market behavior during geopolitical events.

Keywords: Cryptocurrency; NFTs; DeFi; Quantile-on-quantile regression; Asymmetric connectedness; Russia-Ukraine war; Sentiment (search for similar items in EconPapers)
JEL-codes: E50 F51 G14 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000667

DOI: 10.1016/j.ribaf.2024.102273

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