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Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment

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  • Banerjee, Ameet Kumar
  • Akhtaruzzaman, Md
  • Dionisio, Andreia
  • Almeida, Dora
  • Sensoy, Ahmet

Abstract

The 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 conditions.

Suggested Citation

  • Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
    • Handle: RePEc:eee:beexfi:v:36:y:2022:i:c:s2214635022000703
    DOI: 10.1016/j.jbef.2022.100747
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