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Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis

Author

Listed:
  • Emmanuel Joel Aikins Abakah
  • Guglielmo Maria Caporale
  • Luis A. Gil-Alana

Abstract

This paper assesses the impact of US policy responses to the Covid-19 pandemic on various cryptocurrencies and also technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in the case of nine major coins (Bitcoin - BITC, Stella - STEL, Litecoin - LITE, Ethereum - ETHE, XRP (Ripple), Dash, Monero - MONE, NEM, Tether – TETH) and two technology related stock market indices (the KBW NASDAQ Technology Index – KFTX, and the NASDAQ Artificial Intelligence index - AI) over the period 1 January 2020-5 March 2021. The results suggest that fiscal measures such as debt relief and fiscal policy announcements had positive effects on the series examined during the pandemic, when an increased mortality rate tended instead to drive them down; by contrast, monetary measures and announcements appear to have had very little impact and the Covid-19 containment measures none at all.

Suggested Citation

  • Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022. "Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis," CESifo Working Paper Series 9624, CESifo.
    • Handle: RePEc:ces:ceswps:_9624
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    References listed on IDEAS

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    More about this item

    Keywords

    Covid-19 pandemic; cryptocurrencies; Fintech; artificial intelligence; Covid-19 policies; fractional integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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