Nonlinear nexus between cryptocurrency returns and COVID-19 COVID-19 news sentiment

Ameet Kumar Banerjee; Md Akhtaruzzaman; Andreia Dionisio; Dora Almeida; Ahmet Sensoy

doi:10.1016/j.jbef.2022.100747

Nonlinear nexus between cryptocurrency returns and COVID-19 COVID-19 news sentiment

J Behav Exp Finance. 2022 Dec:36:100747. doi: 10.1016/j.jbef.2022.100747. Epub 2022 Sep 1.

Authors

Ameet Kumar Banerjee¹, Md Akhtaruzzaman², Andreia Dionisio³, Dora Almeida⁴, Ahmet Sensoy^{5

6}

Affiliations

¹ XLRI - Xavier School of Management, Circuit House Area, Jamshedpur, 831 001, India.
² Peter Faber Business School, Australian Catholic University, 532.6.15, Level 6, Tenison Woods House, 8-20 Napier Street, North Sydney, NSW 2060, Australia.
³ University of Evora, CEFAGE, School of Social Sciences, Management Department, Largo dos Colegiais, 2, 7000 Evora, Portugal.
⁴ University of Evora, School of Social Sciences, CEFAGE, Portugal.
⁵ Bilkent University, Faculty of Business Administration, Ankara, Turkey.
⁶ Lebanese American University, Adnan Kassar School of Business, Beirut, Lebanon.

Abstract

The paper examines how various COVID-19 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 COVID-19 news sentiment. Results show that COVID-19 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. .

Keywords: COVID–19 COVID-19 news sentiment; Causality; Cryptocurrencies; Pandemic; Transfer entropy.

Publication types

News