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COVID-19 Pandemic and Bitcoin Returns - Evidence From Time and Frequency Domain Causality Analysis

Author

Listed:
  • Pradipta Kumar Sahoo
  • Badri Narayan Rath

    (School of Social, Financial & Human Sciences, KIIT Deemed University, India)

Abstract

This study explores the causal relationship between COVID-19 pandemic and Bitcoin returns by applying the time and frequency domain Granger causality framework. We find that COVID-19 has a causal effect on Bitcoin returns across time. We further find that the causal effect of COVID-19 on Bitcoin returns, varies across different frequencies from short to medium and long term. From a policy perspective, investors need to be alert while investing in Bitcoin.

Suggested Citation

  • Pradipta Kumar Sahoo & Badri Narayan Rath, 2024. "COVID-19 Pandemic and Bitcoin Returns - Evidence From Time and Frequency Domain Causality Analysis," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 5(2), pages 1-4.
    • Handle: RePEc:ayb:jrnael:93
    DOI: 2024/06/28
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    References listed on IDEAS

    as
    1. Elie Bouri & Luis A. Gil‐Alana & Rangan Gupta & David Roubaud, 2019. "Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(1), pages 412-426, January.
    2. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
    3. Al-Awadhi, Abdullah M. & Alsaifi, Khaled & Al-Awadhi, Ahmad & Alhammadi, Salah, 2020. "Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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