COVID-19 Pandemic and Bitcoin Returns - Evidence From Time and Frequency Domain Causality Analysis

Pradipta Kumar Sahoo and Badri Rath

Asian Economics Letters, 2024, vol. 5, issue 2, 1-4

Abstract: This study explores the causal relationship between COVID-19 pandemic and Bitcoin returns by applying the time and frequency domain Granger causality framework. We find that COVID-19 has a causal effect on Bitcoin returns across time. We further find that the causal effect of COVID-19 on Bitcoin returns, varies across different frequencies from short to medium and long term. From a policy perspective, investors need to be alert while investing in Bitcoin.

Keywords: COVID-19; Bitcoin; Time domain causality; Frequency domain causality (search for similar items in EconPapers)
JEL-codes: C58 E42 G11 (search for similar items in EconPapers)
Date: 2024
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