The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect

In this paper, we test the role of news in the predictability of return volatility of digital currency market during the COVID-19 pandemic. We use hourly data for cryptocurrencies and daily data for the news indicator, thus, the GARCH MIDAS framework which allows for mixed data frequencies is adopte...

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Detalles Bibliográficos
Autores principales: Salisu, Afees A., Ogbonna, Ahamuefula E.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9620494/
https://www.ncbi.nlm.nih.gov/pubmed/38013954
http://dx.doi.org/10.1016/j.gfj.2021.100641
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author Salisu, Afees A.
Ogbonna, Ahamuefula E.
author_facet Salisu, Afees A.
Ogbonna, Ahamuefula E.
author_sort Salisu, Afees A.
collection PubMed
description In this paper, we test the role of news in the predictability of return volatility of digital currency market during the COVID-19 pandemic. We use hourly data for cryptocurrencies and daily data for the news indicator, thus, the GARCH MIDAS framework which allows for mixed data frequencies is adopted. We validate the presupposition that fear-induced news triggered by the COVID-19 pandemic increases the return volatilities of the cryptocurrencies compared with the period before the pandemic. We also establish that the predictive model that incorporates the news effects forecasts the return volatility better than the benchmark (historical average)model.
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spelling pubmed-96204942022-10-31 The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect Salisu, Afees A. Ogbonna, Ahamuefula E. Global Finance Journal Article In this paper, we test the role of news in the predictability of return volatility of digital currency market during the COVID-19 pandemic. We use hourly data for cryptocurrencies and daily data for the news indicator, thus, the GARCH MIDAS framework which allows for mixed data frequencies is adopted. We validate the presupposition that fear-induced news triggered by the COVID-19 pandemic increases the return volatilities of the cryptocurrencies compared with the period before the pandemic. We also establish that the predictive model that incorporates the news effects forecasts the return volatility better than the benchmark (historical average)model. Elsevier Inc. 2022-11 2021-04-17 /pmc/articles/PMC9620494/ /pubmed/38013954 http://dx.doi.org/10.1016/j.gfj.2021.100641 Text en © 2021 Elsevier Inc. 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 Article
Salisu, Afees A.
Ogbonna, Ahamuefula E.
The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect
title The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect
title_full The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect
title_fullStr The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect
title_full_unstemmed The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect
title_short The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect
title_sort return volatility of cryptocurrencies during the covid-19 pandemic: assessing the news effect
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9620494/
https://www.ncbi.nlm.nih.gov/pubmed/38013954
http://dx.doi.org/10.1016/j.gfj.2021.100641
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