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

22 Pages Posted: 21 Mar 2022

See all articles by Emmanuel Joel Aikins Abakah

Emmanuel Joel Aikins Abakah

University of Ghana - University of Ghana Business School (UGBS)

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Luis A. Gil-Alana

University of Navarra - Department of Economics

Date Written: 2022

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

JEL Classification: C220, C320, G150

Suggested Citation

Abakah, Emmanuel Joel Aikins and Caporale, Guglielmo Maria and Gil-Alana, Luis A., Cryptocurrencies, Technology Stocks, COVID-19 and US Policy Responses: A Fractional Integration Analysis (2022). CESifo Working Paper No. 9624, Available at SSRN: https://ssrn.com/abstract=4059716 or http://dx.doi.org/10.2139/ssrn.4059716

Emmanuel Joel Aikins Abakah (Contact Author)

University of Ghana - University of Ghana Business School (UGBS) ( email )

Volta Rd
Accra
Ghana

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance ( email )

Kingston Lane
Marie Jahoda Building
Uxbridge, Middlesex UB8 3PH
United Kingdom
+44 1895 266713 (Phone)
+44 1895 269770 (Fax)

HOME PAGE: http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/

London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Luis A. Gil-Alana

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

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