Document Type
Journal Article
Publication Title
Applied Finance Letters
Volume
10
Issue
2021
Publisher
Auckland Centre for Financial Research
School
School of Business and Law
RAS ID
39819
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.
DOI
10.24135/afl.v10i.429
Creative Commons 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