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The impact of regulation on cryptocurrency market volatility in the context of the COVID-19 pandemic — evidence from China

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  • Zhang, Pengcheng
  • Xu, Kunpeng
  • Qi, Jiayin

Abstract

This paper aims to examine the impact of regulatory policies on cryptocurrency market volatility in the context of the COVID-19 pandemic. We find that price volatility, liquidity volatility, and return volatility in the cryptocurrency market increased significantly following regulatory announcements by Chinese policymakers targeting the cryptocurrency industry, and this effect was more pronounced during the COVID-19 pandemic. It indicates that investors are paying a great deal of attention to such events. Yet further findings suggest that as the risk of pandemic transmission increases and stock market returns decline, investor response to regulation decreases. Our findings also suggest that while regulation typically brings market volatility in cryptocurrencies, the release of regulatory policies can instead be beneficial to the stability of the cryptocurrency market when investors are in an highly greedy mood.

Suggested Citation

  • Zhang, Pengcheng & Xu, Kunpeng & Qi, Jiayin, 2023. "The impact of regulation on cryptocurrency market volatility in the context of the COVID-19 pandemic — evidence from China," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 222-246.
    • Handle: RePEc:eee:ecanpo:v:80:y:2023:i:c:p:222-246
    DOI: 10.1016/j.eap.2023.08.015
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    More about this item

    Keywords

    Cryptocurrency; Regulatory policy; Market volatility; COVID-19; Investor sentiment;
    All these keywords.

    JEL classification:

    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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