Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment

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dc.contributor.authorBanerjee, Ameet
dc.contributor.authorAkhtaruzzaman, MD
dc.contributor.authorDionisio, Andreia
dc.contributor.authorAlmeida, Dora
dc.contributor.authorSensoy, Ahmet
dc.date.accessioned2022-12-07T11:06:58Z
dc.date.available2022-12-07T11:06:58Z
dc.date.issued2022
dc.description.abstractThe 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 conditionspor
dc.identifier.authoremailnd
dc.identifier.authoremailnd
dc.identifier.authoremailandreia@uevora.pt
dc.identifier.authoremaildora.almeida@uevora.pt
dc.identifier.authoremailnd
dc.identifier.citationBanerjee, 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.2022.100747por
dc.identifier.doihttps://doi.org/10.1016/j.jbef.2022.100747por
dc.identifier.scientificarea637por
dc.identifier.urihttp://hdl.handle.net/10174/32845
dc.language.isoporpor
dc.peerreviewedyespor
dc.publisherElsevierspor
dc.rightsopenAccesspor
dc.subjectCOVID-19 news sentimentpor
dc.subjectpandemicpor
dc.subjectCryptocurrenciespor
dc.subjectcausalitypor
dc.subjecttransfer entropypor
dc.titleNonlinear nexus between cryptocurrency returns and COVID-19 news sentimentpor
dc.typearticlepor
degois.publication.titleJournal of Behavioral and Experimental Financepor
degois.publication.volume36por

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