Fear Sentiment, Uncertainty, and Bitcoin Price Dynamics: The Case of COVID-19
Conghui Chen, Lanlan Liu, Ningru Zhao
Abstract
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.
Topics & Concepts
Coronavirus disease 2019 (COVID-19)Proxy (statistics)CoronavirusPandemicEconomicsVolatility (finance)Sentiment analysis2019-20 coronavirus outbreakSevere acute respiratory syndrome coronavirus 2 (SARS-CoV-2)Financial economicsSafe havenEconometricsMonetary economicsComputer scienceArtificial intelligenceVirologyOutbreakMedicinePathologyDiseaseInfectious disease (medical specialty)Machine learningBlockchain Technology Applications and SecurityCOVID-19 Pandemic ImpactsMarket Dynamics and Volatility