Διερεύνηση πιθανής αλληλεπίδρασης ανάμεσα στο χρηματοοικονομικό στρες και στην τιμή του bitcoin
An investigation of possible interaction between financial stress and bitcoin price
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Keywords
Κρυπτονομίσματα ; Χρηματοοικονομικό στρες ; COVID-19 ; Bitcoin ; Αιτιότητα Granger ; Δείκτες χρηματοοικονομικής πίεσης ; Blockchain ; Συναίσθημα των επενδυτών ; Δομικές αλλαγές ; OFR FSIAbstract
In this paper we examine the relationship between investor stress in the market and Bitcoin prices by considering the possible effects that may have arisen during the period of the ongoing COVID-19 pandemic as well as after it. Our data are from January 2, 2018 to May 28, 2023. The existence of structural changes in the time series for the full sample reveals a nonstationary causality between stress sentiment and Bitcoin prices, which leads us to apply a test of rolling window Granger causality. Our results show that both negative and positive interactions between fear sentiment and Bitcoin prices occur over several sub-periods. The nature of these interactions changes significantly before, after and during the pandemic. Thus, we contribute to the rapidly growing literature on the financial impact of the global COVID-19 pandemic, as well as the debate on whether to classify Bitcoin as a new asset, speculative investment, currency or safe haven.