Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment

Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Dionisio, Andreia; Almeida, Dora; Sensoy, Ahmet

http://hdl.handle.net/10400.26/53786

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Authors

Banerjee, Ameet Kumar

Abstract(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.

Keywords

COVID–19 news sentiment Pandemic Cryptocurrencies Causality Transfer entropy

URI

http://hdl.handle.net/10400.26/53786

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DOI

10.1016/j.jbef.2022.100747

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VALORIZA - Artigos em Revistas Científicas

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