Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis

Emmanuel Abakah, Guglielmo Maria Caporale and Luis Gil-Alana

No 9624, CESifo Working Paper Series from CESifo

Abstract: This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC, Stella - STEL, Litecoin - LITE, Ethereum - ETHE, XRP (Ripple), Dash, Monero - MONE, NEM, Tether – TETH) and two technology related stock market indices (the KBW NASDAQ Technology Index – KFTX, and the NASDAQ Artificial Intelligence index - AI) over the period 1 January 2020-5 March 2021. The results suggest that fiscal measures such as debt relief and fiscal policy announcements had positive effects on the series examined during the pandemic, when an increased mortality rate tended instead to drive them down; by contrast, monetary measures and announcements appear to have had very little impact and the Covid-19 containment measures none at all.

Keywords: Covid-19 pandemic; cryptocurrencies; Fintech; artificial intelligence; Covid-19 policies; fractional integration (search for similar items in EconPapers)
JEL-codes: C22 C32 G15 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-fmk and nep-pay
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