Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment

Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

“…Bitcoin’s underlying technology, blockchain, also has several benefits, including distributed ledger, decentralization, information transparency, tamper-proof design, and openness (Xu et al 2019 ). In line with Chen et al ( 2022 ), Mahdi and Al–Abdulla ( 2022 ), and Banerjee et al ( 2022 ), we obtained coronavirus indices from RavenPack. RavenPack Coronavirus Media Monitor synthesizes the feelings (mood) expressed in news reports and public posts, which are then converted into convenient metrics (Rahadian and Nurfitriani 2022 ).…”

“…Furthermore, the outcomes are consistent with Zhu et al ( 2021 ), suggesting that investor attention is a significant factor in the Bitcoin market. Additionally, Banerjee et al ( 2022 ) proved a unidirectional causal relationship between COVID-19 news sentiment and cryptocurrency returns. However, the rest of RavenPack's coronavirus-related indices do not cause Bitcoin at any frequency range.…”

“…Our main practical contributions to the existing literature are as follows. First, to the best of our knowledge, only Banerjee et al ( 2022 ) approached the whole RavenPack pandemic indices on the cryptocurrency market; however, they did not consider any measure regarding new pandemic cases and deaths or the VIX index. Mahdi and Al−Abdulla ( 2022 ) used the RavenPack coronavirus news-based indices but did not include the Coronavirus Hype Index and Coronavirus Fake News Index.…”

The Effect of COVID Pandemic on Cryptocurrency Markets; A Literature Review

“…Also, the growing rate of Covid-19 confirmed cases and deaths appears to be detrimental to Tunisia's crypto market, according to their estimation. Also, Banerjee et al (2022) investigates how several Covid-19 news sentiment categories differently affect the behavior of bitcoin returns. To understand the dynamics of cryptocurrency return and volatility, a nonlinear transfer entropy technique is used in their study to look at the relationship between the top 30 cryptocurrencies by market capitalization and Covid-19 news sentiment.…”

The effect of the COVID-19 pandemic on multifractals of price returns and trading volume variations of cryptocurrencies

“…Recently, other studies focused on assessing return-volatility and return-volume relationships [7] , interdependency between return series [8] , volatility spillover between cryptocurrencies [9] , volatility interdependence with world major markets [10] , dynamic spillovers between cryptocurrencies under diverse market states [11] , linkages with crude oil and gold markets [12] , and connectedness with emerging markets [9] . Further works, focused on the effect of the COVID-19 news sentiments [13] Twitter-based sentiment [14] , financial and pandemic related news [15] , and the relationship between cryptocurrency markets and financial sentiment indicators [16] .…”