加密货币回报与新冠疫情新闻情绪之间的非线性关系。
Nonlinear nexus between cryptocurrency returns and COVID-19 COVID-19 news sentiment.
作者信息
Banerjee Ameet Kumar, Akhtaruzzaman Md, Dionisio Andreia, Almeida Dora, Sensoy Ahmet
机构信息
XLRI - Xavier School of Management, Circuit House Area, Jamshedpur, 831 001, India.
Peter Faber Business School, Australian Catholic University, 532.6.15, Level 6, Tenison Woods House, 8-20 Napier Street, North Sydney, NSW 2060, Australia.
出版信息
J Behav Exp Finance. 2022 Dec;36:100747. doi: 10.1016/j.jbef.2022.100747. Epub 2022 Sep 1.
The paper examines how various COVID-19 COVID-19 news sentiments differentially impact the behaviour of cryptocurrency returns. We used a nonlinear technique of transfer entropy to investigate the relationship between the top 30 cryptocurrencies by market capitalisation and COVID-19 COVID-19 news sentiment. Results show that COVID-19 COVID-19 news sentiment influences cryptocurrency returns. The nexus is unidirectional from news sentiment to cryptocurrency returns, in contrast to past findings. These results have practical implications for policymakers and market participants in understanding cryptocurrency market dynamics under extremely stressful market conditions. .
本文研究了各种新冠疫情新闻情绪如何对加密货币回报行为产生不同影响。我们使用转移熵的非线性技术来研究按市值排名前30的加密货币与新冠疫情新闻情绪之间的关系。结果表明，新冠疫情新闻情绪会影响加密货币回报。与过去的研究结果相反，这种联系是从新闻情绪到加密货币回报的单向关系。这些结果对于政策制定者和市场参与者在极端紧张的市场条件下理解加密货币市场动态具有实际意义。
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