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

被引：0
|
作者：
Ngo Thai Hung [1 ]
机构：
[1] Univ Finance Mkt, Ho Chi Minh City, Vietnam
来源：
ECONOMICS BULLETIN | 2022年 / 42卷 / 01期
关键词：
UNCERTAINTY; SENTIMENT;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：109 / 123
页数：15
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