Interactions between investors’ fear and greed sentiment and Bitcoin prices |
| |
| Institution: | 1. IPAG Lab, IPAG Business School, France;2. ISIG Kairouan, University of Kairouan, Tunisia;3. LaREMFIQ Laboratory, University of Sousse, Tunisia;4. IDRAC Business School, France;5. John Molson School of Business, Concordia University, Canada;1. Fluminense Federal University, Department of Economics and National Council for Scientific and Technological Development (CNPq), Brazil;2. Fluminense Federal University, Department of Economics/FGV EPGE, Brazil;1. Department of Finance, Ming Chuan University, No.250, Section 5, Zhongshan N Rd, Taipei 10617, Taiwan, ROC;2. Department of Economics, University of Texas, San Antonio, TX, USA;1. Department of Finance and Accounting, University of Tunis El Manar and IFGT, Tunis, Tunisia;2. Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman;3. ISEG – Lisbon School of Economics and Management, SOCIUS/CSG – Research in Social Sciences and Management, Universidade de Lisboa, Rua Miguel Lupi, 20, 1249-078 Lisbon, Portugal;4. HSE University, Pokrovsky Blv. 11, 109028 Moscow, Russian Federation;5. PNU Business School, Pusan National University, Busan, South Korea;1. School of Finance, Anhui University of Finance and Economics, Bengbu 233030, Anhui, PR China;2. College of Business, Zayed University, P.O. Box 144534. Abu Dhabi, United Arab Emirates |
| |
| Abstract: | This paper examines the relationship between investor fear in the cryptocurrency market and Bitcoin prices by considering the potential effects of the ongoing COVID-19 pandemic during the period of May 5, 2018 and December 10, 2020. The existence of structural changes in the time series for the full sample reveals a non-constant causality between fear sentiment and Bitcoin prices, which leads us to apply a bootstrap rolling window Granger causality test. Our results show that both negative and positive interactions between fear sentiment and Bitcoin prices occur during several subperiods. The nature of these interactions changes significantly before and during the pandemic. Thus, we contribute to the fast-growing literature on the financial effects of the COVID-19 global pandemic, as well as to the debate on whether to classify Bitcoin as a new asset, speculative investment, currency, or safe haven asset. |
| |
| Keywords: | Bitcoin COVID-19 Cryptocurrency Fear Globalization |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
