The COVID-19 effects on cryptocurrency markets: robust evidence from time-frequency analysis

Ngo Hung ()
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Ngo Hung: University of Finance-Marketing

Economics Bulletin, 2022, vol. 42, issue 1, 109 - 123

Abstract: This study contributes to the related literature on the COVID-cryptocurrency relationship by examining its dynamics in the time-frequency space. The application of wavelet frameworks to the news-based COVID-19 sentiment index introduced by Buckman et al. (2020) is what distinguishes our approach. Our empirical results suggest a bidirectional relationship between the two variables in the short and medium run. Specifically, negative co-movement between them was found during the COVID-19 crisis. In addition, the COVID-19 sentiment index has a higher causal effect and a significant connection with the selected cryptocurrency prices. News-based sentiment indexes can provide fresh insight into future developments in the cryptocurrency markets.

Keywords: COVID-19; cryptocurrency markets; wavelet analysis; news-based sentiment index. (search for similar items in EconPapers)
JEL-codes: C5 G1 (search for similar items in EconPapers)
Date: 2022-02-20
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Citations: View citations in EconPapers (1)

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