IMPACT OF COVID-19 ON CRYPTOCURRENCIES: EVIDENCE ON INFORMATION TRANSMISSION THROUGH ECONOMIC AND FINANCIAL MARKET SENTIMENTS

  • Irfan Haider Shakri Edith Cowan University
  • Jaime Yong Edith Cowan University
  • Erwei Xiang Edith Cowan University

Abstract

This paper investigates the relationship between the COVID-19 crisis and the two leading cryptocurrencies, Bitcoin and Ethereum, from 31 December 2019 to 18 August 2020. We also use an economic news sentiment index and financial market sentiment index to explore the possible mechanisms through which COVID-19 impacts cryptocurrency. We employ a VAR Granger Causality framework and Wavelet Coherence Analysis and find the cryptocurrency market was impacted in the early phase of the sample period through economic news and financial market sentiments, but this effect diminished after June 2020.

 

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Published
2021-10-31
How to Cite
Shakri, I. H., Yong, J., & Xiang, E. (2021). IMPACT OF COVID-19 ON CRYPTOCURRENCIES: EVIDENCE ON INFORMATION TRANSMISSION THROUGH ECONOMIC AND FINANCIAL MARKET SENTIMENTS. Applied Finance Letters, 10, 103 - 113. https://doi.org/10.24135/afl.v10i.429
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Articles submitted to regular issue