A short-and long-term analysis of the nexus between Bitcoin, social media and Covid-19 outbreak

Abstract

In this paper, we attempt to analyze the dynamic interplay between Bitcoin, social media, and the Covid-19 health crisis. For this end, we apply the fractional autoregressive vector model, fractional error correction model and impulse response functions on daily data over the period 31/12/2019-30/10/2020. Our results clearly show the short- and long-term evidence of the nexus between the Bitcoin price, social media metrics (Tweets and Google Trends) and the intensity of the Covid-19 pandemic. As well, the Covid-19 pandemic does not impact on social media metrics in the short- and long-term. On the other hand, the Covid-19 pandemic positively affects social media metrics. Also, the Covid-19 pandemic encourages investing in digital currencies such as Bitcoin. So, the Covid-19 health crisis significantly influences social media networks and Bitcoin prices.

Cryptocurrency price discrepancies under uncertainty: Evidence from COVID-19 and lockdown nexus

“…Before the outbreak of the COVID-19 pandemic, the effective factors in cryptocurrency markets include public attention (Liu and Tsyvinski, 2020), cryptocurrency past returns ( Bianchi, 2020 ), the ability of monetary policy to modulate demand shock ( Saleh, 2021 ), cryptocurrency production factors ( Cong et al, 2021 ) and blockchain fundamentals ( Bhambhwani et al, 2019 , Pagnotta, 2021 ), among others. 4 With the advent of the COVID-19 pandemic, a strand of literature highlighted the importance of social media (reflecting social panic) on the price of cryptocurrencies ( Caferra, 2020 , Chen et al, 2020 , Corbet et al, 2020 , Bejaoui et al, 2021 ). Usually using Google search volume as a proxy of panic sentiment, these studies measured the effects of social panic on the returns and trading volume in cryptocurrency markets.…”

The differential influence of social media sentiment on cryptocurrency returns and volatility during COVID-19

“…Social media platforms could be useful for monitoring such investing behaviour. Finally, Béjaoui et al (2021) argue that there is a strong dynamic nexus between Bitcoin and social media that also holds during the COVID-19 era, both social media and Bitcoin prices are revealed to be influenced by a considerable extent of this health crisis.…”

The Impact of the COVID-19 Pandemic on the Cryptocurrency Market

“…In this respect, and following many researchers (e.g. Akhtaruzzaman et al, 2020;Goodell & Goutte, 2020;Béjaoui et al, 2021), the date of December 31, 2019 is used as the starting date in order to examine the impact of the Covid-19 crisis on financial markets.…”