Affiliation:
1. KIIT Deemed University, India
2. Indian Institute of Technology Hyderabad, India
Abstract
This study explores the causal relationship between COVID-19 pandemic and Bitcoin returns by applying the time and frequency domain Granger causality framework. We find that COVID-19 has a causal effect on Bitcoin returns across time. We further find that the causal effect of COVID-19 on Bitcoin returns, varies across different frequencies from short to medium and long term. From a policy perspective, investors need to be alert while investing in Bitcoin.
Publisher
Asia-Pacific Applied Economics Association
Cited by
2 articles.
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