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Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment

2022-09Journal article Restricted access
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dc.contributor.authorBanerjee, Ameet Kumar
dc.contributor.authorAkhtaruzzaman, Md
dc.contributor.authorDionisio, Andreia
dc.contributor.authorAlmeida, Dora
dc.contributor.authorSensoy, Ahmet
dc.date.accessioned2025-01-14T10:44:56Z
dc.date.available2025-01-14T10:44:56Z
dc.date.issued2022-09
dc.date.updated2025-01-04T14:25:54Z
dc.description.abstractThe 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1016/j.jbef.2022.100747pt_PT
dc.identifier.issn2214-6350
dc.identifier.slugcv-prod-3039139
dc.identifier.urihttp://hdl.handle.net/10400.26/53786
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherELSEVIERpt_PT
dc.subjectCOVID–19 news sentimentpt_PT
dc.subjectPandemicpt_PT
dc.subjectCryptocurrenciespt_PT
dc.subjectCausalitypt_PT
dc.subjectTransfer entropypt_PT
dc.titleNonlinear nexus between cryptocurrency returns and COVID-19 news sentimentpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.titleJournal of Behavioral and Experimental Financept_PT
oaire.citation.volume36pt_PT
rcaap.cv.cienciaid181D-7395-0348 | Dora Maria Fortes de Almeida
rcaap.rightsrestrictedAccesspt_PT
rcaap.typearticlept_PT

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