Cryptocurrencies are Not Immune to Coronavirus: Evidence from Investor Fear

26 Pages Posted: 4 Feb 2021 Last revised: 6 Feb 2021

See all articles by Lai T. Hoang

Lai T. Hoang

The University of Western Australia

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Date Written: February 3, 2021

Abstract

This paper examines the predictability of fear of coronavirus on future returns and volatility of five major cryptocurrencies during the COVID-19 outbreak. Adopting Google search volume on a comprehensive list of coronavirus-related terms to construct a gauge of fear, we show that daily innovation in fear of coronavirus is associated with next-day negative returns and positive volatility. The results indicate that (i) cryptocurrencies (particularly bitcoin) are not a safe haven for investors against the COVID-19 pandemic, and (ii) Google search contains important information that might be useful to predict cryptocurrency market movements during times of crisis.

Keywords: cryptocurrencies, bitcoin, coronavirus, pandemic, Google Trends

JEL Classification: G01, G17, G23

Suggested Citation

Hoang, Lai T. and Baur, Dirk G., Cryptocurrencies are Not Immune to Coronavirus: Evidence from Investor Fear (February 3, 2021). Available at SSRN: https://ssrn.com/abstract=3778988 or http://dx.doi.org/10.2139/ssrn.3778988

Lai T. Hoang (Contact Author)

The University of Western Australia ( email )

35 Stirling Highway
Crawley, Western Australia 6009
Australia

Dirk G. Baur

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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