Riding the waves of investor sentiment: Cryptocurrency price and renewable energy volatility during the pandemic-war era

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE Journal of Behavioral and Experimental Finance Pub Date : 2024-10-28 DOI:10.1016/j.jbef.2024.101001

A. Bouteska , Le Thanh Ha , M. Kabir Hassan , M. Faisal Safa

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Abstract

This study explores the interplay between cryptocurrency price volatility and renewable energy dynamics amid crises, particularly during the COVID-19 pandemic and the Russia-Ukraine conflict. Utilizing a Quantile Vector Autoregression (QVAR) model with daily data from April 1, 2015, to September 23, 2022, we assess the interconnectedness of cryptocurrency volatility, investor sentiment, and energy fluctuations. Our findings reveal a significant temporal variation in systemic connectedness influenced by recent global events. Overall, we observe approximately 30 % connectivity in the short run and 6 % in the long run. Notably, Bitcoin and the Fear and Greed Index shifted roles from net shock receivers to transmitters over various periods. Financial and macro uncertainties primarily acted as shock transmitters during 2017 to early 2022. Furthermore, investor sentiment transitioned from a shock transmitter before the pandemic to a shock receiver during it. The analysis underscores the substantial impact of extraordinary events e.g., the COVID-19 pandemic, the Russia-Ukraine conflict on market dynamics.

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顺应投资者的情绪波动：大流行病战争时代加密货币价格和可再生能源的波动性

本研究探讨了危机中加密货币价格波动与可再生能源动态之间的相互作用，尤其是在 COVID-19 大流行和俄罗斯-乌克兰冲突期间。利用从 2015 年 4 月 1 日到 2022 年 9 月 23 日每日数据的量化向量自回归（QVAR）模型，我们评估了加密货币波动、投资者情绪和能源波动之间的相互联系。我们的研究结果表明，受近期全球事件的影响，系统关联性存在明显的时间变化。总体而言，我们观察到短期连接性约为 30%，长期连接性约为 6%。值得注意的是，比特币和 "恐惧与贪婪指数 "在不同时期从净冲击接收者转变为传播者。2017 年至 2022 年初，金融和宏观不确定性主要充当了冲击传播者的角色。此外，投资者情绪也从大流行前的冲击发射者转变为大流行期间的冲击接收者。分析强调了 COVID-19 大流行病、俄罗斯-乌克兰冲突等非常事件对市场动态的重大影响。

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来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.