EconPapers    
Economics at your fingertips  
 

Bitcoin-specific fear sentiment and bitcoin returns in the COVID-19 outbreak

Ahmet Aysan, Ali Yavuz Polat, Hasan Tekin and Ahmet Semih Tunali

MPRA Paper from University Library of Munich, Germany

Abstract: This study aims to investigate the effect of fear sentiment with a novel data set on Bitcoin’s return, volatility and transaction volume. We divide the sample into two subperiods in order to capture the changing dynamics during the Covid-19 pandemic. We retrieve the novel fear sentiment data from Thomson Reuters MarketPsych Indices (TRMI). We denote the subperiods as pre- and post-COVID19 considering January 13th, 2020, when first Covid-19 confirmed case was reported outside China. We employ bivariate vector autoregressive (VAR) models given below with lag-length k, to investigate the dynamics between Bitcoin variables and fear sentiment.Bitcoin market measures have dissimilar dynamics before and after the Coronavirus outbreak. The results reveal that due to the excessive uncertainty led by the outbreak, an increase in fear sentiment negatively affects the Bitcoin returns more persistently and significantly. For the post-COVID-19 period, an increase in fear also results in more fluctuations in transaction volume while its initial and cumulative effects are both negative. Due to extreme uncertainty caused by the COVID-19 pandemic, investors may trade more aggressively in the initial phases of the shock.

Keywords: Bitcoin’s return; COVID-19; fear sentiment; transaction volume; TRMI; volatility (search for similar items in EconPapers)
JEL-codes: O31 (search for similar items in EconPapers)
Date: 2021-05-05
New Economics Papers: this item is included in nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/110013/1/MPRA_paper_110013.pdf original version (application/pdf)

Related works:
Working Paper: Bitcoin-specific fear sentiment and bitcoin returns in the COVID-19 outbreak (2021) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:110013

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2025-03-19
Handle: RePEc:pra:mprapa:110013