Fear Sentiment, Uncertainty, and Bitcoin Price Dynamics: The Case of COVID-19. Issue 10 (8th August 2020)

• Record Type: Journal Article
• Authors: Chen, Conghui; Liu, Lanlan; Zhao, Ningru
• Is Part Of: Emerging markets finance & trade. Volume 56:Issue 10(2020)
• Page Start: 2298
• Page End: 2309
• Publication Date: 2020-08-08
• Subjects: Coronavirus -- Google search volume -- fear sentiment -- Bitcoin price dynamics; G12 -- G14 -- G15; Balkan Peninsula -- Commerce -- Periodicals; Balkan Peninsula -- Foreign economic relations -- Periodicals; Europe, Central -- Commerce -- Periodicals; Europe, Central -- Foreign economic relations -- Periodicals; Europe, Eastern -- Commerce -- Periodicals; Europe, Eastern -- Foreign economic relations -- Periodicals; Turkey -- Commerce -- Periodicals; Turkey -- Foreign economic relations -- Periodicals; Asia -- Commerce -- Periodicals; Asia -- Foreign economic relations -- Periodicals; Eurasia -- Commerce -- Periodicals; Eurasia -- Foreign economic relations -- Periodicals; 382.05
• DOI: 10.1080/1540496X.2020.1787150
• Languages: English
• ISSNs: 1540-496X

Abstract

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.