Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis

【Author】 Khalfaoui, Rabeh; Gozgor, Giray; Goodell, John W.

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】Cryptocurrency values have recently fallen substantially. Why? We examine the impact of attention on the Russia-Ukraine War, proxied by Google Trends, on cryptocurrencies (and equity) to measure the returns coherences. Using quantile cross-spectral analysis and daily data for February 24, 2022-June 21, 2022, we observe that co-movements between War attention and cryptocurrencies depends on investment horizon and market state. Under bearish and normal (bull) markets, War attention negatively (positively) affects all cryptocurrencies in the short term. Results are consistent with cryptocurrency investors responding to War attention by seeking liquidity, with recent price falls explained as sell-offs by large holders.

【Keywords】Russia-Ukraine war; Google Trends; Cryptocurrencies; Stock markets; Quantile cross-spectral analysis

【发表时间】2023 MAR

【收录时间】2023-04-09

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