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Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment
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Orientador(es)
Resumo(s)
The paper examines how various COVID-19 news sentiments differentially impact the behaviour
of cryptocurrency returns. We used a nonlinear technique of transfer entropy to investigate the
relationship between the top 30 cryptocurrencies by market capitalisation and COVID-19 news
sentiment. Results show that COVID-19 news sentiment influences cryptocurrency returns. The
nexus is unidirectional from news sentiment to cryptocurrency returns, in contrast to past findings.
These results have practical implications for policymakers and market participants in understanding
cryptocurrency market dynamics under extremely stressful market conditions.
Descrição
Palavras-chave
COVID–19 news sentiment Pandemic Cryptocurrencies Causality Transfer entropy
Contexto Educativo
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