The Asymmetric Effect of Panic Index on Cryptocurrencies
The Covid 19 pandemic is the first major crisis facing cryptocurrencies. Therefore, the reaction of the cryptocurrency markets is important. News about epidemics affects investors' decisions. Panic index (PIndex) is an index created from news about the Covid 19 outbreak. In the study, it is use...
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| Format: | Article |
| Language: | English |
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Frontiers Media S.A.
2021-04-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fams.2021.661388/full |
| _version_ | 1819283121187586048 |
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| author | Necmiye Serap Vurur |
| author_facet | Necmiye Serap Vurur |
| author_sort | Necmiye Serap Vurur |
| collection | DOAJ |
| description | The Covid 19 pandemic is the first major crisis facing cryptocurrencies. Therefore, the reaction of the cryptocurrency markets is important. News about epidemics affects investors' decisions. Panic index (PIndex) is an index created from news about the Covid 19 outbreak. In the study, it is used to measure the impact of decisions on the crypto money market. As cryptocurrencies, Bitcoin (BTC), Etherium (ETH), and Ripple (XRP), which have the highest transaction volume in the crypto money market, are included in the analysis. The relationship between Panic Index and the three major cryptocurrencies with the largest share in the cryptocurrency market was investigated by Ardl and Hatemi-J asymmetric causality test. Traditional causality tests acknowledge that the effects of positive and negative changes are the same. However, there may be asymmetric information and different investor behaviors in financial markets. In the study, Hatemi-J [1] Asymmetric Causality Test was conducted to examine the asymmetric relationship and symmetric relationship between Pindex and cryptocurrencies by separating them into positive and negative shocks. According to the results of the Hatemi-J causality analysis, positive shocks in the panic index are the cause of negative shocks for all cryptocurrencies. In other words, increases in the panic index are caused to fall the value of Bitcoin, Ethereum, and Ripple cryptocurrencies decrease. The results show that cryptocurrencies were not a safe haven for the investor during the Covid 19 period, as they acted similarly to other financial assets. |
| first_indexed | 2024-12-24T01:26:26Z |
| format | Article |
| id | doaj.art-a087eedea2184f8ba3d73f995dac44e1 |
| institution | Directory Open Access Journal |
| issn | 2297-4687 |
| language | English |
| last_indexed | 2024-12-24T01:26:26Z |
| publishDate | 2021-04-01 |
| publisher | Frontiers Media S.A. |
| record_format | Article |
| series | Frontiers in Applied Mathematics and Statistics |
| spelling | doaj.art-a087eedea2184f8ba3d73f995dac44e12022-12-21T17:22:29ZengFrontiers Media S.A.Frontiers in Applied Mathematics and Statistics2297-46872021-04-01710.3389/fams.2021.661388661388The Asymmetric Effect of Panic Index on CryptocurrenciesNecmiye Serap VururThe Covid 19 pandemic is the first major crisis facing cryptocurrencies. Therefore, the reaction of the cryptocurrency markets is important. News about epidemics affects investors' decisions. Panic index (PIndex) is an index created from news about the Covid 19 outbreak. In the study, it is used to measure the impact of decisions on the crypto money market. As cryptocurrencies, Bitcoin (BTC), Etherium (ETH), and Ripple (XRP), which have the highest transaction volume in the crypto money market, are included in the analysis. The relationship between Panic Index and the three major cryptocurrencies with the largest share in the cryptocurrency market was investigated by Ardl and Hatemi-J asymmetric causality test. Traditional causality tests acknowledge that the effects of positive and negative changes are the same. However, there may be asymmetric information and different investor behaviors in financial markets. In the study, Hatemi-J [1] Asymmetric Causality Test was conducted to examine the asymmetric relationship and symmetric relationship between Pindex and cryptocurrencies by separating them into positive and negative shocks. According to the results of the Hatemi-J causality analysis, positive shocks in the panic index are the cause of negative shocks for all cryptocurrencies. In other words, increases in the panic index are caused to fall the value of Bitcoin, Ethereum, and Ripple cryptocurrencies decrease. The results show that cryptocurrencies were not a safe haven for the investor during the Covid 19 period, as they acted similarly to other financial assets.https://www.frontiersin.org/articles/10.3389/fams.2021.661388/fullCovid 19Panic IndexBitcoinEthereumRippleAsymetric Causality |
| spellingShingle | Necmiye Serap Vurur The Asymmetric Effect of Panic Index on Cryptocurrencies Frontiers in Applied Mathematics and Statistics Covid 19 Panic Index Bitcoin Ethereum Ripple Asymetric Causality |
| title | The Asymmetric Effect of Panic Index on Cryptocurrencies |
| title_full | The Asymmetric Effect of Panic Index on Cryptocurrencies |
| title_fullStr | The Asymmetric Effect of Panic Index on Cryptocurrencies |
| title_full_unstemmed | The Asymmetric Effect of Panic Index on Cryptocurrencies |
| title_short | The Asymmetric Effect of Panic Index on Cryptocurrencies |
| title_sort | asymmetric effect of panic index on cryptocurrencies |
| topic | Covid 19 Panic Index Bitcoin Ethereum Ripple Asymetric Causality |
| url | https://www.frontiersin.org/articles/10.3389/fams.2021.661388/full |
| work_keys_str_mv | AT necmiyeserapvurur theasymmetriceffectofpanicindexoncryptocurrencies AT necmiyeserapvurur asymmetriceffectofpanicindexoncryptocurrencies |