Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment

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 s...

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Detalles Bibliográficos
Autores principales: Banerjee, Ameet Kumar, Akhtaruzzaman, Md, Dionisio, Andreia, Almeida, Dora, Sensoy, Ahmet
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Full Length Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9434911/
https://www.ncbi.nlm.nih.gov/pubmed/36065258
http://dx.doi.org/10.1016/j.jbef.2022.100747
Descripción
Sumario: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.

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