Riding the waves of investor sentiment: Cryptocurrency price and renewable energy volatility during the pandemic-war era

A. Bouteska, Le Thanh Ha, M. Kabir Hassan and M. Faisal Safa

Journal of Behavioral and Experimental Finance, 2024, vol. 44, issue C

Abstract: This study explores the interplay between cryptocurrency price volatility and renewable energy dynamics amid crises, particularly during the COVID-19 pandemic and the Russia-Ukraine conflict. Utilizing a Quantile Vector Autoregression (QVAR) model with daily data from April 1, 2015, to September 23, 2022, we assess the interconnectedness of cryptocurrency volatility, investor sentiment, and energy fluctuations. Our findings reveal a significant temporal variation in systemic connectedness influenced by recent global events. Overall, we observe approximately 30 % connectivity in the short run and 6 % in the long run. Notably, Bitcoin and the Fear and Greed Index shifted roles from net shock receivers to transmitters over various periods. Financial and macro uncertainties primarily acted as shock transmitters during 2017 to early 2022. Furthermore, investor sentiment transitioned from a shock transmitter before the pandemic to a shock receiver during it. The analysis underscores the substantial impact of extraordinary events e.g., the COVID-19 pandemic, the Russia-Ukraine conflict on market dynamics.

Keywords: Investor sentiment; Energy dynamics; Vector quantile autoregression; COVID-19 pandemic, Russia-Ukraine conflict (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:44:y:2024:i:c:s2214635024001163

DOI: 10.1016/j.jbef.2024.101001

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