The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets

Yarovaya, Larisa; Matkovskyy, Roman; Jalan, Akanksha

doi:10.1016/j.intfin.2021.101321

Cited by 156 publications

(112 citation statements)

References 106 publications

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“…They display that the effect of the policy responses seems to be small and limited in scope. Yarovaya et al. (2021) investigate the herding in cryptocurrency markets during the Covid-19 pandemic.…”

Section: What Do You Learn About Social Media Bitcoin and Covid-19 Pandemic?mentioning

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: What Do You Learn About Social Media Bitcoin and Covid-19 Pandemic?mentioning

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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“…Particularly, in turbulent market times, the assets and/or asset classes that competitively satisfy the investor's wishes are called safe havens [12]. Since the emergence of cryptocurrency as a nontraditional asset class, recent episodes of financial crises, and currently the COVID-19 pandemic, a plethora of studies have revisited the basic premise of portfolio diversification in search of competitive returns and risk levels [13][14][15][16][17][18][19][20][21][22][23][24][25][26][27]. e underlying thread in these and many studies is the idea that investors are always scouring competing risks and rewards and this search intensifies under stressed market conditions.…”

Section: Introductionmentioning

confidence: 99%

COVID-19 as Information Transmitter to Global Equity Markets: Evidence from CEEMDAN-Based Transfer Entropy Approach

Owusu

Frimpong

Adam

et al. 2021

Mathematical Problems in Engineering

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This study provides an analysis of chaotic information transmission from the COVID-19 pandemic to global equity markets in a novel denoised frequency domain entropy framework. The current length of the pandemic data offers the opportunity to examine its role in the asymmetric behaviour patterns of investors according to time horizons and the diversification potentials available to them. We employ the total daily global confirmed cases of COVID-19 and 27 equity indices from December 31, 2019, to April 18, 2021. Our results corroborate the idea that diversification potentials are stronger in the short to medium term. The Global Index (higher risk) and Canada and New Zealand (lower risk) remain at both ends to pair some other equities to offer diversification prospects because of the transmission of information from COVID-19 to the selected equity markets. In addition, we provide the source of these diversification prospects as information flow rather than transmission of shocks, which is common in the literature. Furthermore, our results suggest detailed levels of risk (lower vis-à-vis higher) in the situation where they have been stripped of the noise in the market. The findings allow both investors and policymakers to make informed decisions based on the time horizons since the pandemic communicates different chaotic information with the lapse of time. This is imperative to avoid the negative consequences of the increasing infection rate on global stock markets.

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“…The COVID-19 pandemic has had crucial implications for the global financial sector and is shaping research in finance ( Goodell, 2020 ). For example, some studies have analyzed the implications of COVID-19 for financial markets and portfolio diversification (e.g., Corbet et al, 2020a and 2020b ; Goodell and Goutte, 2020a ; Yarovaya et al, 2021a ). The COVID-19 crisis created a set of new issues that amplified the ongoing challenges of globalization, such as increased market interconnectedness and financial contagion ( Nasir and Du, 2018 ; Baker et al, 2020 ; Ghabri et al, 2020 ).…”

Section: Introductionmentioning

confidence: 99%

Did COVID-19 change spillover patterns between Fintech and other asset classes?

Yarovaya²,

Nasir

2021

Research in International Business and Finance

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The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets

Cited by 156 publications

References 106 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

COVID-19 as Information Transmitter to Global Equity Markets: Evidence from CEEMDAN-Based Transfer Entropy Approach

Did COVID-19 change spillover patterns between Fintech and other asset classes?

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