The impact of regulation on cryptocurrency market volatility in the context of the COVID-19 pandemic - evidence from China

【Author】 Zhang, Pengcheng; Xu, Kunpeng; Qi, Jiayin

【Source】ECONOMIC ANALYSIS AND POLICY

【影响因子】4.444

【Abstract】This paper aims to examine the impact of regulatory policies on cryptocurrency market volatility in the context of the COVID-19 pandemic. We find that price volatility, liquidity volatility, and return volatility in the cryptocurrency market increased significantly following regulatory announcements by Chinese policymakers targeting the cryptocurrency industry, and this effect was more pronounced during the COVID-19 pandemic. It indicates that investors are paying a great deal of attention to such events. Yet further findings suggest that as the risk of pandemic transmission increases and stock market returns decline, investor response to regulation decreases. Our findings also suggest that while regulation typically brings market volatility in cryptocurrencies, the release of regulatory policies can instead be beneficial to the stability of the cryptocurrency market when investors are in an highly greedy mood. & COPY; 2023 Economic Society of Australia, Queensland. Published by Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrency; Regulatory policy; Market volatility; COVID-19; Investor sentiment

【发表时间】2023 DEC

【收录时间】2023-10-12

【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