The COVID-19 effects on cryptocurrency markets: robust evidence from time-frequency analysis

This study contributes to the related literature on the COVID-cryptocurrency relationship by examining its dynamics in the time-frequency space. The application of wavelet frameworks to the news-based COVID-19 sentiment index introduced by Buckman et al. (2020) is what distinguishes our approach. Our empirical results suggest a bidirectional relationship between the two variables in the short and medium run. Specifically, negative co-movement between them was found during the COVID-19 crisis. In addition, the COVID-19 sentiment index has a higher causal effect and a significant connection with the selected cryptocurrency prices. News-based sentiment indexes can provide fresh insight into future developments in the cryptocurrency markets.