Abstract
Controlling for the polarity and subjectivity of social media data based on the development of the COVID-19 outbreak, we analyse the relationships between the largest cryptocurrencies and such time-varying realisation as to the scale of the economic shock centralised within the rapidly-escalating pandemic. We find evidence of significant growth in both returns and volumes traded, indicating that large cryptocurrencies acted as a store of value during this period of exceptional financial market stress. Further, cryptocurrency returns are found to be significantly influenced by negative sentiment relating to COVID-19. While not only providing diversification benefits for investors, results suggest that these digital assets acted as a safe-haven similar to that of precious metals during historiccrises.
Original language | English |
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Article number | 109377 |
Journal | Economics Letters |
Volume | 194 |
Early online date | 7 Jul 2020 |
DOIs | |
Publication status | Published - 1 Sep 2020 |
Keywords
- COVID-19
- Cryptocurrency
- Financial crisis
- Pandemic
- Safe-haven
- Sentiment
ASJC Scopus subject areas
- Finance
- Economics and Econometrics