Chen, C.-J., Liu, L. and Zhao, N. (2020) Fear Sentiment, Uncertainty, and Bitcoin Price Dynamics: The Case of COVID-19. Emerging Markets Finance and Trade. 56(10), pp. 2298-2309. 1540-496X.
Chen_etal_TFO_2020_Fear_Sentiment_Uncertainty_and_Bitcoin_Price_Dynamics_The_Case_of_COVID_19 (359kB) |
| Item Type: | Article |
|---|---|
| Abstract: | This paper studies the impact of fear sentiment caused by the coronavirus pandemic on Bitcoin price dynamics. We construct a new proxy for coronavirus fear sentiment using hourly Google search queries on coronavirus-related words. The results show that market volatility has been exacerbated by fear sentiment as the result of an increase in search interest in coronavirus. Moreover, we find that negative Bitcoin returns and high trading volume can be explained by fear sentiment regarding the coronavirus. Our results also show that Bitcoin fails to act as a safe haven during the pandemic. |
| Uncontrolled Keywords: | Coronavirus, Google search volume, Fear sentiment, Bitcoin price dynamics, General Economics, Econometrics and Finance, Finance |
| Creators: | Chen, Conghui-Jocelyn, Liu, Lanlan and Zhao, Ningru |
| Faculties, Divisions and Institutes: | Faculties > Faculty of Business & Law > Accounting & Finance |
| Date: | 8 August 2020 |
| Date Type: | Publication |
| Page Range: | pp. 2298-2309 |
| Journal or Publication Title: | Emerging Markets Finance and Trade |
| Volume: | 56 |
| Number: | 10 |
| Number of Pages: | 12 |
| Language: | English |
| DOI: | https://doi.org/10.1080/1540496X.2020.1787150 |
| ISSN: | 1540-496X |
| Status: | Published / Disseminated |
| Refereed: | Yes |
| Related URLs: | |
| URI: | http://nectar.northampton.ac.uk/id/eprint/13411 |
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