Investors' sentiments and the dynamic connectedness between cryptocurrency and precious metals markets

Fasanya, Ismail O.; Oyewole, Oluwatomisin J.; Oliyide, Johnson A.

doi:10.1016/j.qref.2022.08.009

Cited by 19 publications

(1 citation statement)

References 54 publications

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“…For instance, Tiwari et al ( 2019 ) demonstrated that digital currencies’ volatilities react more to adverse shocks than positive ones. Fasanya et al ( 2022 ) claimed that nonlinearity is essential for evaluating how investor sentiment influences the interplay between the markets for precious metals and cryptocurrencies. Long et al ( 2021 ) found that when uncertainty lowers, the increase in Bitcoin price outweighs the decline when uncertainty increases.…”

Section: Quantitative Frameworkmentioning

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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Section: Quantitative Frameworkmentioning

confidence: 99%