Please use this identifier to cite or link to this item:
http://hdl.handle.net/10174/32845
|
| Title: | Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment |
| Authors: | Banerjee, Ameet
Akhtaruzzaman, MD
Dionisio, Andreia
Almeida, Dora
Sensoy, Ahmet |
| Keywords: | COVID-19 news sentiment
pandemic
Cryptocurrencies
causality
transfer entropy |
| Issue Date: | 2022 |
| Publisher: | Elseviers |
| Citation: | Banerjee, A., Akhtaruzzaman, M., Dionísio, A, Almeida, D., Sensoy, A. (2022). Nonlinear nexus between cryptocurrency returns and COVID–19 news sentiment. Journal of Behavioral and Experimental Finance, 36. https://doi.org/10.1016/j.jbef.2022.100747 |
| 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 |
| URI: | http://hdl.handle.net/10174/32845 |
| Type: | article |
| Appears in Collections: | CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica
|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.
|
/
CEFAGE - Centro de Estudos e Formação Avançada em Gestão e Economia /
CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica /
