The COVID-19 pandemic and Bitcoin: Perspective from investor attention

【Author】 Wan, Jieru; Wu, You; Zhu, Panpan

【Source】FRONTIERS IN PUBLIC HEALTH

【影响因子】6.461

【Abstract】The response of the Bitcoin market to the novel coronavirus (COVID-19) pandemic is an example of how a global public health crisis can cause drastic market adjustments or even a market crash. Investor attention on the COVID-19 pandemic is likely to play an important role in this response. Focusing on the Bitcoin futures market, this paper aims to investigate whether pandemic attention can explain and forecast the returns and volatility of Bitcoin futures. Using the daily Google search volume index for the "coronavirus" keyword from January 2020 to February 2022 to represent pandemic attention, this paper implements the Granger causality test, Vector Autoregression (VAR) analysis, and several linear effects analyses. The findings suggest that pandemic attention is a granger cause of Bitcoin returns and volatility. It appears that an increase in pandemic attention results in lower returns and excessive volatility in the Bitcoin futures market, even after taking into account the interactive effects and the influence of controlling other financial markets. In addition, this paper carries out the out-of-sample forecasts and finds that the predictive models with pandemic attention do improve the out-of-sample forecast performance, which is enhanced in the prediction of Bitcoin returns while diminished in the prediction of Bitcoin volatility as the forecast horizon is extended. Finally, the predictive models including pandemic attention can generate significant economic benefits by constructing portfolios among Bitcoin futures and risk-free assets. All the results demonstrate that pandemic attention plays an important and non-negligible role in the Bitcoin futures market. This paper can provide enlightens for subsequent research on Bitcoin based on investor attention sparked by public emergencies. [Wan, Jieru] Univ Nottingham, Business Sch, Nottingham Univ, Nottingham, England; [Wu, You; Zhu, Panpan] Beijing Technol & Business Univ, Sch Econ, Beijing, Peoples R China University of Nottingham; Beijing Technology & Business University Zhu, PP (通讯作者)，Beijing Technol & Business Univ, Sch Econ, Beijing, Peoples R China. zhupp_ah@163.com 105 0 0 0 0 FRONTIERS MEDIA SA LAUSANNE AVENUE DU TRIBUNAL FEDERAL 34, LAUSANNE, CH-1015, SWITZERLAND 2296-2565 FRONT PUBLIC HEALTH Front. Public Health APR 12 2023 11 1147838 10.3389/fpubh.2023.1147838 http://dx.doi.org/10.3389/fpubh.2023.1147838 20 Public, Environmental & Occupational Health Science Citation Index Expanded (SCI-EXPANDED); Social Science Citation Index (SSCI) Public, Environmental & Occupational Health E3MT6 37124792 gold, Green Accepted 2023-05-06 WOS:000974624700001

【Keywords】investor attention; Bitcoin; COVID-19 pandemic; VAR analysis; forecast

【发表时间】2023 12-Apr

【收录时间】2023-05-08

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析