Nonlinear nexus between cryptocurrency returns and COVID–19 COVID-19 news sentiment

Journal article

Banerjee, Ameet Kumar, Akhtaruzzaman, Md, Dionisio, Andreia, Almeida, Dora and Sensoy, Ahmet. (2022). Nonlinear nexus between cryptocurrency returns and COVID–19 COVID-19 news sentiment. Journal of Behavioral and Experimental Finance. 36, p. Article 100747. https://doi.org/10.1016/j.jbef.2022.100747
AuthorsBanerjee, Ameet Kumar, Akhtaruzzaman, Md, Dionisio, Andreia, Almeida, Dora and Sensoy, Ahmet
Abstract

The paper examines how various COVID-19 news sentiments differentially impact the behaviour of cryptocurrency returns. We used a nonlinear technique of transfer entropy to investigate the relationship between the top 30 cryptocurrencies by market capitalisation and COVID-19 news sentiment. Results show that COVID-19 news sentiment influences cryptocurrency returns. The nexus is unidirectional from news sentiment to cryptocurrency returns, in contrast to past findings. These results have practical implications for policymakers and market participants in understanding cryptocurrency market dynamics under extremely stressful market conditions.

KeywordsCOVID-19 news sentiment; pandemic; cryptocurrencies; causality; transfer entropy
Year2022
JournalJournal of Behavioral and Experimental Finance
Journal citation36, p. Article 100747
PublisherElsevier B.V.
ISSN2214-6350
Digital Object Identifier (DOI)https://doi.org/10.1016/j.jbef.2022.100747
PubMed ID36065258
Scopus EID2-s2.0-85138817692
PubMed Central IDPMC9434911
Page range1-9
Publisher's version
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All rights reserved
File Access Level
Controlled
Output statusPublished
Publication dates
Online01 Sep 2022
Publication process dates
Accepted24 Aug 2022
Deposited17 Jul 2023
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