ABSTRACT
Our research investigated the effect of COVID-19 cases (cumulative positive and death cases) on Bitcoin price in the top three infected countries based on WHO (United States, Brazil, and India). Macro-financial and internal factors are employed as the other independent determinants of Bitcoin prices. We utilized feasible generalized least squares (FGLS) alongside generalized method of moments (GMM) for robustness check. The output revealed robustness across different econometric models. The findings unraveled that COVID-19 cumulative positive cases brought positive but insignificant impacts on Bitcoin returns, while its death cases stated the opposite. Macro-financial factors represented by stock indices and gold price imposed that they could be alternative investments to Bitcoin under the uncertain times of COVID-19. Liquidity and volume in respect to return discovery of Bitcoin are imperative instruments, as these internal factors move in the same direction with Bitcoin's demand and return movement. Efficiency in internal factors drives investors' demand, hence pushing the increase in Bitcoin's return. © 2022 ACM.
ABSTRACT
Purpose This paper aims to analyse COVID-19 indices and blockchain features on Bitcoin and Ethereum returns, respectively. The authors focus on the most used and owned cryptocurrencies that cover Europe, the US and Asian countries. Design/methodology/approach An autoregressive distributed lag panel (pooled mean group and mean group) is utilized, and a robustness check is incorporated by using a Random Effect Model and Generalized Method of Moments (GMM). Findings Four new findings were discovered, including (1) the vaccine confidence index (VCI) pushes economic recovery and increased demand for the Bitcoin market, but the opposite result was interestingly observed from Ethereum;(2) the blockchain features were revealed to be essential to Bitcoin, while they were irrelevant to Ethereum for short-run country-specific results;(3) the hash rate and network difficulty moved inversely during the pandemic;and (4) the government played a significant role in taking action during uncertain times and regarding cryptocurrency policies. Research limitations/implications VCI is constructed by the most used vaccine type in our sample countries (i.e. Pfizer), as the data for a specific classification by each type is still unavailable. Practical implications Providing an evenly distributed vaccination program primary vaccination series against COVID-19 to the citizens is an essential duty of the government. Bitcoin policymakers and investors should watch the COVID-19 vaccine distributions closely as it will affect its return. Ethereum is emphasized to keep developing its smart contract which appeared to outplay other blockchain features. Cryptocurrency investors should be wise in their investment decisions by analysing the news thoroughly. Social implications This research emphasizes that the success in the roll-out of COVID-19 vaccination requires citizens' willingness to participate and their trust in the vaccine's efficacy. Such self-awareness and self-discipline in society can ultimately empower individuals and stabilise the economy. Nevertheless, the implementation of health protocols is still highly required to prevent the spread of new variants of COVID-19. Originality/value This is the first study that attempts to construct a VCI which denotes the confidence derived from the administration of full-dose COVID-19 vaccines (an initial vaccine and a second vaccine). The authors further find the impact on cryptocurrency returns. Next, blockchain size is utilized as a new determinant of cryptocurrencies.