ABSTRACT
In this study, we focus on a prominent feature in Bitcoin: its volatility. This paper aims to examine the volatility action of Bitcoin's price during the COVID-19 pandemic through various angles: COVID-19 fear sentiments, investor fear sentiments, macro-financial factors, and crypto market factors. The study utilises daily data from 11 March 2020 to 31 May 2021. We implemented an ARDL bound testing approach to find cointegration, and the Toda-Yamamoto approach to further examine any existing causal relationships between the variables. The empirical results show that COVID-19 fear increased Bitcoin volatility and a unidirectional causal relation was found between them. Investor fear sentiments revealed that US dollar volatility moved in the same direction as Bitcoin volatility, while VIX was found to be insignificant. Gold, crude oil, and the stock market did not influence the volatility of Bitcoin. Overall, only crypto market factors were cointegrated with Bitcoin volatility in the long run. Copyright © 2023 Inderscience Enterprises Ltd.
ABSTRACT
We investigated COVID-19 cases per country, macro-financial, and crypto market factors that might have affected Ethereum's price return in the top three countries of users, which were also affected by COVID-19 (United States, China, and Germany). Feasible Generalized Least Square (FGLS) was used as the methodology and the generalized method of moments (GMM) was tested for a robustness check. The findings revealed that Ethereum price returns were greatly affected by COVID-19 factors. Meanwhile, macro-financial factors (stock indices and gold) had stronger effects on the return of Ethereum price rather than the crypto market. © 2022 ACM.