Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage

Youssef, Mouna; Waked, Sami Sobhi

doi:10.1016/j.najef.2022.101752

Cited by 34 publications

(19 citation statements)

References 63 publications

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“…Generally speaking, these reached the same conclusions: that the pandemic actually increased herding behavior in the cryptocurrency market. In [ 126 ], the authors used 43 cryptocurrencies with large market capitalization between 2013 and 2020; they found that investors in the cryptocurrency market follow the consensus and the impact of coronavirus media coverage is significant on the herding behavior. In particular, news related to the coronavirus increases fear and affects the behavior of investors reducing appetite for risk.…”

Section: Experimental Results and Discussionmentioning

confidence: 99%

“…During this time, the concerns about the pandemic started to decrease, meaning that not only cryptocurrency but also other traditional assets recovered with investors’ newfound positive attitude bringing them back to normal trading. Crypto traders started to diversify their portfolio by investing in different low and high market-capitalized assets and making their own decisions [ 126 ]. However, one remarkable phenomenon that is worth taking into consideration is ] risk-taking behavior.…”

Section: Experimental Results and Discussionmentioning

confidence: 99%

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The Cryptocurrency Market in Transition before and after COVID-19: An Opportunity for Investors?

Nguyen

Tan

Bezbradica

et al. 2022

Entropy

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We analyze the correlation between different assets in the cryptocurrency market throughout different phases, specifically bearish and bullish periods. Taking advantage of a fine-grained dataset comprising 34 historical cryptocurrency price time series collected tick-by-tick on the HitBTC exchange, we observe the changes in interactions among these cryptocurrencies from two aspects: time and level of granularity. Moreover, the investment decisions of investors during turbulent times caused by the COVID-19 pandemic are assessed by looking at the cryptocurrency community structure using various community detection algorithms. We found that finer-grain time series describes clearer the correlations between cryptocurrencies. Notably, a noise and trend removal scheme is applied to the original correlations thanks to the theory of random matrices and the concept of Market Component, which has never been considered in existing studies in quantitative finance. To this end, we recognized that investment decisions of cryptocurrency traders vary between bearish and bullish markets. The results of our work can help scholars, especially investors, better understand the operation of the cryptocurrency market, thereby building up an appropriate investment strategy suitable to the prevailing certain economic situation.

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Section: Experimental Results and Discussionmentioning

confidence: 99%

Section: Experimental Results and Discussionmentioning

confidence: 99%

The Cryptocurrency Market in Transition before and after COVID-19: An Opportunity for Investors?

Nguyen

Tan

Bezbradica

et al. 2022

Entropy

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“…The behavior of crypto investors is affected by news about the COVID-19 pandemic due to panic and fear. Therefore, investors neglect their own knowledge and imitate the investment strategies of other investors (Youssef and Waked 2022). This also leads to the increasing interdependence and spillovers among cryptocurrencies during the COVID-19 pandemic.…”

Section: Introductionmentioning

confidence: 99%

Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic

Cui

Maghyereh

2022

Financ Innov

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Analyzing comovements and connectedness is critical for providing significant implications for crypto-portfolio risk management. However, most existing research focuses on the lower-order moment nexus (i.e. the return and volatility interactions). For the first time, this study investigates the higher-order moment comovements and risk connectedness among cryptocurrencies before and during the COVID-19 pandemic in both the time and frequency domains. We combine the realized moment measures and wavelet coherence, and the newly proposed time-varying parameter vector autoregression-based frequency connectedness approach (Chatziantoniou et al. in Integration and risk transmission in the market for crude oil a time-varying parameter frequency connectedness approach. Technical report, University of Pretoria, Department of Economics, 2021) using intraday high-frequency data. The empirical results demonstrate that the comovement of realized volatility between BTC and other cryptocurrencies is stronger than that of the realized skewness, realized kurtosis, and signed jump variation. The comovements among cryptocurrencies are both time-dependent and frequency-dependent. Besides the volatility spillovers, the risk spillovers of high-order moments and jumps are also significant, although their magnitudes vary with moments, making them moment-dependent as well and are lower than volatility connectedness. Frequency connectedness demonstrates that the risk connectedness is mainly transmitted in the short term (1–7 days). Furthermore, the total dynamic connectedness of all realized moments is time-varying and has been significantly affected by the outbreak of the COVID-19 pandemic. Several practical implications are drawn for crypto investors, portfolio managers, regulators, and policymakers in optimizing their investment and risk management tactics.

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“…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. Youssef and Waked ( 2022 ) employed the Media Coverage Index but explored the herding behavior in the cryptocurrency market. Most of the previous studies employed Google (Urquhart 2018 ; Salisu and Ogbonna 2021 ; Anastasiou et al 2021 ; Rajput et al 2020 ; Figà−Talamanca and Patacca 2020 ; Zhu et al 2021 ; Bashir and Kumar 2022 ; Vukovic et al 2021 ; Benlagha and Hemrit 2022 ; Dias et al 2022 ; Kim and Orlova 2021 ; Bonaparte and Bernile 2022 ; Raza et al 2022b ; Tong et al 2022 ) or Twitter (Shen et al 2019 ; Kraaijeveld and Smedt, 2020 ; Choi 2021 ; Naeem et al 2020 ; Wu et al 2021b ; Elsayed et al 2022 ; Bashir and Kumar, 2022 ; Kyriazis et al 2022 ; Gök et al 2022 ; Dias et al 2022 ; French, 2021 ; Tong et al 2022 ) data and were oriented toward equity markets (Haroon and Rizvi 2020 ; Shi and Ho, 2021 ; Tan 2021 ) or commodities (Atri et al 2021 ).…”

Section: Introductionmentioning

confidence: 99%

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

Gherghina

Simionescu

2023

Financ Innov

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This paper explores the asymmetric effect of COVID-19 pandemic news, as measured by the coronavirus indices (Panic, Hype, Fake News, Sentiment, Infodemic, and Media Coverage), on the cryptocurrency market. Using daily data from January 2020 to September 2021 and the exponential generalized autoregressive conditional heteroskedasticity model, the results revealed that both adverse and optimistic news had the same effect on Bitcoin returns, indicating fear of missing out behavior does not prevail. Furthermore, when the nonlinear autoregressive distributed lag model is estimated, both positive and negative shocks in pandemic indices promote Bitcoin’s daily changes; thus, Bitcoin is resistant to the SARS-CoV-2 pandemic crisis and may serve as a hedge during market turmoil. The analysis of frequency domain causality supports a unidirectional causality running from the Coronavirus Fake News Index and Sentiment Index to Bitcoin returns, whereas daily fluctuations in the Bitcoin price Granger affect the Coronavirus Panic Index and the Hype Index. These findings may have significant policy implications for investors and governments because they highlight the importance of news during turbulent times. The empirical results indicate that pandemic news could significantly influence Bitcoin’s price.

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Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage

Cited by 34 publications

References 63 publications

The Cryptocurrency Market in Transition before and after COVID-19: An Opportunity for Investors?

The Cryptocurrency Market in Transition before and after COVID-19: An Opportunity for Investors?

Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic

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

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