Northampton Electronic Collection of Theses and Research

Fear Sentiment, Uncertainty, and Bitcoin Price Dynamics: The Case of COVID-19

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.

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Chen_etal_TFO_2020_Fear_Sentiment_Uncertainty_and_Bitcoin_Price_Dynamics_The_Case_of_COVID_19.pdf - Accepted Version
Information
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, C.-J., Liu, L. and Zhao, N.
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:
10.1080/1540496X.2020.1787150
ISSN:
1540-496X
Status:
Published / Disseminated
Refereed:
Yes
Related URLs:
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