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
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author Banerjee, Ameet Kumar
Akhtaruzzaman, Md
Dionisio, Andreia
Almeida, Dora
Sensoy, Ahmet
author_facet Banerjee, Ameet Kumar
Akhtaruzzaman, Md
Dionisio, Andreia
Almeida, Dora
Sensoy, Ahmet
author_sort Banerjee, Ameet Kumar
collection PubMed
description 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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spelling pubmed-94349112022-09-01 Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment Banerjee, Ameet Kumar Akhtaruzzaman, Md Dionisio, Andreia Almeida, Dora Sensoy, Ahmet J Behav Exp Finance Full Length Article 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. Elsevier B.V. 2022-12 2022-09-01 /pmc/articles/PMC9434911/ /pubmed/36065258 http://dx.doi.org/10.1016/j.jbef.2022.100747 Text en © 2022 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Full Length Article
Banerjee, Ameet Kumar
Akhtaruzzaman, Md
Dionisio, Andreia
Almeida, Dora
Sensoy, Ahmet
Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment
title Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment
title_full Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment
title_fullStr Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment
title_full_unstemmed Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment
title_short Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment
title_sort nonlinear nexus between cryptocurrency returns and covid-19 news sentiment
topic Full Length Article
url 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
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