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Ngo Thai Hung
''The COVID-19 effects on cryptocurrency markets: robust evidence from time-frequency analysis''
( 2022, Vol. 42 No.1 )
This study contributes to the related literature on the COVID-cryptocurrency relationship by examining its dynamics in the time-frequency space. The application of wavelet frameworks to the news-based COVID-19 sentiment index introduced by Buckman et al. (2020) is what distinguishes our approach. Our empirical results suggest a bidirectional relationship between the two variables in the short and medium run. Specifically, negative co-movement between them was found during the COVID-19 crisis. In addition, the COVID-19 sentiment index has a higher causal effect and a significant connection with the selected cryptocurrency prices. News-based sentiment indexes can provide fresh insight into future developments in the cryptocurrency markets.
Keywords: COVID-19, cryptocurrency markets, wavelet analysis, news-based sentiment index.
JEL: C5 - Econometric Modeling: General
G1 - General Financial Markets
Manuscript Received : Aug 09 2021 Manuscript Accepted : Feb 20 2022

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