TY - JOUR
T1 - Fear Sentiment, Uncertainty, and Bitcoin Price Dynamics
T2 - The Case of COVID-19
AU - Chen, Conghui
AU - Liu, Lanlan
AU - Zhao, Ningru
N1 - Publisher Copyright:
© 2020 Taylor & Francis Group, LLC.
PY - 2020/8/8
Y1 - 2020/8/8
N2 - This paper studies the impact of fear sentiment caused by the coronavirus pandemic on Bitcoin price dynamics. We construct a new proxy for coronavirus fear sentiment using hourly Google search queries on coronavirus-related words. The results show that market volatility has been exacerbated by fear sentiment as the result of an increase in search interest in coronavirus. Moreover, we find that negative Bitcoin returns and high trading volume can be explained by fear sentiment regarding the coronavirus. Our results also show that Bitcoin fails to act as a safe haven during the pandemic.
AB - This paper studies the impact of fear sentiment caused by the coronavirus pandemic on Bitcoin price dynamics. We construct a new proxy for coronavirus fear sentiment using hourly Google search queries on coronavirus-related words. The results show that market volatility has been exacerbated by fear sentiment as the result of an increase in search interest in coronavirus. Moreover, we find that negative Bitcoin returns and high trading volume can be explained by fear sentiment regarding the coronavirus. Our results also show that Bitcoin fails to act as a safe haven during the pandemic.
KW - Bitcoin price dynamics
KW - Coronavirus
KW - fear sentiment
KW - Google search volume
UR - http://www.scopus.com/inward/record.url?scp=85088536018&partnerID=8YFLogxK
U2 - 10.1080/1540496X.2020.1787150
DO - 10.1080/1540496X.2020.1787150
M3 - Article
AN - SCOPUS:85088536018
SN - 1540-496X
VL - 56
SP - 2298
EP - 2309
JO - Emerging Markets Finance and Trade
JF - Emerging Markets Finance and Trade
IS - 10
ER -