Nottingham University Business School, University of Nottingham, Nottingham, United Kingdom.
School of Economics, Beijing Technology and Business University, Beijing, China.
Front Public Health. 2023 Apr 12;11:1147838. doi: 10.3389/fpubh.2023.1147838. eCollection 2023.
The response of the Bitcoin market to the novel coronavirus (COVID-19) pandemic is an example of how a global public health crisis can cause drastic market adjustments or even a market crash. Investor attention on the COVID-19 pandemic is likely to play an important role in this response. Focusing on the Bitcoin futures market, this paper aims to investigate whether pandemic attention can explain and forecast the returns and volatility of Bitcoin futures. Using the daily Google search volume index for the "coronavirus" keyword from January 2020 to February 2022 to represent pandemic attention, this paper implements the Granger causality test, Vector Autoregression (VAR) analysis, and several linear effects analyses. The findings suggest that pandemic attention is a granger cause of Bitcoin returns and volatility. It appears that an increase in pandemic attention results in lower returns and excessive volatility in the Bitcoin futures market, even after taking into account the interactive effects and the influence of controlling other financial markets. In addition, this paper carries out the out-of-sample forecasts and finds that the predictive models with pandemic attention do improve the out-of-sample forecast performance, which is enhanced in the prediction of Bitcoin returns while diminished in the prediction of Bitcoin volatility as the forecast horizon is extended. Finally, the predictive models including pandemic attention can generate significant economic benefits by constructing portfolios among Bitcoin futures and risk-free assets. All the results demonstrate that pandemic attention plays an important and non-negligible role in the Bitcoin futures market. This paper can provide enlightens for subsequent research on Bitcoin based on investor attention sparked by public emergencies.
比特币市场对比特币市场对新型冠状病毒（COVID-19）大流行的反应是一个例证，说明了全球公共卫生危机如何导致剧烈的市场调整甚至市场崩溃。投资者对 COVID-19 大流行的关注可能在这种反应中发挥重要作用。本文聚焦于比特币期货市场，旨在研究大流行关注度是否可以解释和预测比特币期货的收益和波动性。本文使用 2020 年 1 月至 2022 年 2 月每日的 Google 搜索量指数来代表大流行关注度，采用 Granger 因果关系检验、向量自回归（VAR）分析和几种线性效应分析。研究结果表明，大流行关注度是比特币收益和波动性的格兰杰原因。似乎大流行关注度的增加会导致比特币期货市场收益降低和波动性过大，即使考虑到互动效应和控制其他金融市场的影响也是如此。此外，本文进行了样本外预测，发现包含大流行关注度的预测模型确实可以提高样本外预测的表现，这在比特币收益的预测中得到了增强，而在比特币波动性的预测中则随着预测期的延长而减弱。最后，包含大流行关注度的预测模型可以通过构建比特币期货和无风险资产之间的投资组合产生显著的经济效益。所有结果都表明，大流行关注度在比特币期货市场中发挥着重要且不可忽视的作用。本文可以为基于公共突发事件引发的投资者关注度的后续比特币研究提供启示。
