Pandemics and Cryptocoins

ABSTRACT

This study examines the effect of pandemic-induced uncertainty on cryptocoins (Bitcoin, Ethereum and Ripple). It employs Westerlund and Narayan (2012, 2015) predictive model to examine the predictability of pandemic-induced uncertainty and our model's forecast performance. We examine the role of asymmetry in uncertainty and the sensitivity of our results to Salisu and Akanni (2020) recently developed Global Fear Index. Cryptocoins acts as hedge against uncertainty due to pandemics, albeit with reduced hedging effectiveness in the COVID-19 period. Accounting for asymmetry improves predictability and model forecast performance. Our results may be sensitive to the choice of measure of pandemic-induced uncertainty.