IMPACT OF COVID-19 ON CRYPTOCURRENCIES: EVIDENCE ON INFORMATION TRANSMISSION THROUGH ECONOMIC AND FINANCIAL MARKET SENTIMENTS

• DOI: 10.24135/afl.v10i.429
• Publication Date: 2021-11-01T13:47:25Z
• Authors: Irfan Haider Shakri; Jaime Yong; Erwei Xiang
• Keywords: Causality

This paper investigates the relationship between COVID-19 crisis and two leading cryptocurrencies, Bitcoin Ethereum, from 31 December 2019 to 18 August 2020. We also use an economic news sentiment index financial market explore possible mechanisms through which impacts cryptocurrency. employ a VAR Granger Causality framework Wavelet Coherence Analysis find cryptocurrency was impacted in early phase of sample period sentiments, but this effect diminished after June 2020.