Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

Abstract This paper explores the asymmetric effect of COVID-19 pandemic news, as measured by the coronavirus indices (Panic, Hype, Fake News, Sentiment, Infodemic, and Media Coverage), on the cryptocurrency market. Using daily data from January 2020 to September 2021 and the exponential generalized...

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Bibliographic Details
Main Authors: Ştefan Cristian Gherghina, Liliana Nicoleta Simionescu
Format: Article
Language:English
Published: SpringerOpen 2023-01-01
Series:Financial Innovation
Subjects:
COVID-19
Bitcoin
NARDL
EGARCH
Frequency domain causality
Online Access:https://doi.org/10.1186/s40854-022-00430-w

Internet

https://doi.org/10.1186/s40854-022-00430-w

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