This paper investigates the impact of global sentiment and various coronavirus disease 2019 (COVID-19)-related media coverage news (Media-Hype index; Panic Index; Media Coverage Index, infodemic index and coronavirus statistics) on the dynamics of bitcoin returns during the COVID-19 pandemic using an asymmetric framework.
The authors use an asymmetric framework based on quantile regression (QR) and quantile-on-quantile regression.
QR results show that COVID-19 panic news negatively affects bitcoin market returns at times of extreme bearish. However, COVID-19 bullish sentiment negatively impacts bitcoin market returns during bullish market conditions. Quantile-on-quantile approach's (QQA) empirical results show that the effects of COVID-19-related news on bitcoin returns were heterogeneous, mainly negative and varied across quantiles.
The authors find some significant differences regarding the impact of news on bitcoin return dynamics compared to stock markets, suggesting the safe-haven role of bitcoin against stock during the ongoing epidemic.
The authors find some significant differences regarding the impact of news on bitcoin return dynamics compared to stock markets, suggesting the safe-haven role of bitcoin against stock during the ongoing epidemic.
This study contributes to understanding the dynamics of bitcoin returns using various COVID-19 media news.
