Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19

James, Nick; Menzies, Max; Chan, Jennifer

doi:10.1016/j.physa.2020.125581

Cited by 69 publications

(56 citation statements)

References 55 publications

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“…(2020) break the sample period (January 1, 2019 to April 30, 2020) into two sub-periods: The without Covid-19 sample consists of observations before January 1, 2020 and the Covid-19 period (after January 1, 2020) given that the first case was officially reported in China in late December 2019. James et al. (2021) distinguish two different sub-periods: The pre-Covid period from 30/06/2018 to 31/12/2019 and the post-Covid period from 1/1/2020 to 24/06/2020.…”

Section: Data and Descriptive Statisticsmentioning

confidence: 99%

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

Béjaoui¹,

Mgadmi²,

Moussa³

et al. 2021

Heliyon

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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.

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Section: Data and Descriptive Statisticsmentioning

confidence: 99%

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

Béjaoui¹,

Mgadmi²,

Moussa³

et al. 2021

Heliyon

View full text Add to dashboard Cite

show abstract

“…Alternative asset classes such as cryptocurrencies could be studied, building on the work of [80] , who analyze the co-movement between COVID-19 and Bitcoin. One could also apply our analysis to alternative time series, such as max–min and absolute return volatility [72] , [81] . Overall, the framework presented in this paper could be applied broadly to various economic, epidemiological and political crises.…”

Section: Discussionmentioning

confidence: 99%

Association between COVID-19 cases and international equity indices

James

Menzies

2021

Physica D: Nonlinear Phenomena

Self Cite

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This paper analyzes the impact of COVID-19 on the populations and equity markets of 92 countries. We compare country-by-country equity market dynamics to cumulative COVID-19 case and death counts and new case trajectories. First, we examine the multivariate time series of cumulative cases and deaths, particularly regarding their changing structure over time. We reveal similarities between the case and death time series, and key dates that the structure of the time series changed. Next, we classify new case time series, demonstrate five characteristic classes of trajectories, and quantify discrepancy between them with respect to the behavior of waves of the disease. Finally, we show there is no relationship between countries’ equity market performance and their success in managing COVID-19. Each country’s equity index has been unresponsive to the domestic or global state of the pandemic. Instead, these indices have been highly uniform, with most movement in March.

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“…The influence of COVID-19 on financial markets has been a topic of great academic interest. Several studies have analyzed the impact of COVID-19 on stock markets (Al-Awadhi et al, 2020;Baker et al, 2020;Gao et al, 2021;Rizvi, Yarovaya, et al, 2020;Zhang et al, 2020), mutual funds Mirza, Hasnaoui, et al, 2020;Yarovaya et al, 2020bYarovaya et al, , 2021, the currency market (Ali et al, 2020;Aslam, Aziz, et al, 2020;Umar & Gubareva, 2020), commodity markets (Mensi et al, 2020), as well as on cryptocurrencies (Conlon et al, 2020;James et al, 2021;Umar & Gubareva, 2020). However, this effect has hardly been analyzed in the fixed-income market despite Grund (2020) noting that the emergence of COVID-19 caused countries' sovereign spreads to increase rapidly.…”

Section: Literature Reviewmentioning

confidence: 99%

Influence of COVID-induced fear on sovereign bond yield

Paule-Vianez

2021

Economic Research-Ekonomska Istraživanja

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There is limited literature exploring the relationship between the sentiment of fear and bond markets. This study analyzes the influence of fear generated by the coronavirus on bond markets, particularly on the yield of sovereign bond debt issued by the G7 countries (Germany, Canada, the United States, France, Italy, Japan, and the United Kingdom). To accomplish this, search volumes compiled by Google Trends on the topic of coronavirus were used as a proxy for COVID-induced fear. The results from applying a panel data approach for the period from 1 January 2020 to 30 December 2020, show that this fear positively impacts the 10-year sovereign bond yield. We show that a one-point increase in COVID-induced fear was associated with an increase in the weekly change in the sovereign bond yield of around 0.0007%. Thus, we found that COVID-induced fear was associated with an increase in country risk perception. These findings have important implications for policymakers by demonstrating the importance of searching a balance between health concerns and impacts on the economy to avoid increasing country risk. In addition, the results obtained show that in times of greater fear of the coronavirus, investors can obtain higher returns by investing in safe assets, such as sovereign bonds.

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Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19

Cited by 69 publications

References 55 publications

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

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

Association between COVID-19 cases and international equity indices

Influence of COVID-induced fear on sovereign bond yield

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