Factors Impacting on Bitcoin Returns in the Top Three COVID-19 Infected Countries

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.