N.A. Tiffani, Ingrid Claudia Calvilus, Shinta Amalina Hazrati Havidz
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引用次数: 1
Abstract
In this study, we focus on a prominent feature in Bitcoin: its volatility. This paper aims to examine the volatility action of Bitcoin's price during the COVID-19 pandemic through various angles: COVID-19 fear sentiments, investor fear sentiments, macro-financial factors, and crypto market factors. The study utilises daily data from 11 March 2020 to 31 May 2021. We implemented an ARDL bound testing approach to find cointegration, and the Toda-Yamamoto approach to further examine any existing causal relationships between the variables. The empirical results show that COVID-19 fear increased Bitcoin volatility and a unidirectional causal relation was found between them. Investor fear sentiments revealed that US dollar volatility moved in the same direction as Bitcoin volatility, while VIX was found to be insignificant. Gold, crude oil, and the stock market did not influence the volatility of Bitcoin. Overall, only crypto market factors were cointegrated with Bitcoin volatility in the long run.
期刊介绍：
GBER (the flagship journal of the Business & Economics Society International) is an international refereed outlet journal for the presentation, discussion and analysis of advanced concepts, initial treatments and fundamental research in all fields of business and economics. Priority is given to insightful policy-oriented articles that deal with the implications of the increasingly global business activity, especially written for the educated lay-person.
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