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.

Document Type

Journal Article

Date of Publication

2021

Volume

10

Issue

2021

Publication Title

Applied Finance Letters

Publisher

Auckland Centre for Financial Research

School

School of Business and Law

RAS ID

39819

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Comments

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

Share

 
COinS
 

Link to publisher version (DOI)

10.24135/afl.v10i.429