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Akademisyenler > Hasan TEKİN > Yayın Detayı

Bitcoin-specific fear sentiment matters in the COVID-19 outbreak      
Yazarlar (4)
Ali Yavuz Polat
Abdullah Gül Üniversitesi, Türkiye
Ahmet Faruk Aysan
Türkiye
Doç. Dr. Hasan TEKİN Doç. Dr. Hasan TEKİN
Karabük Üniversitesi, Türkiye
Ahmet Semih Tunalı
Türkiye
Devamını Göster
Özet

Purpose
This study aims to investigate the effect of fear sentiment with a novel data set on Bitcoin’s (BTC) return, volatility and transaction volume. The authors divide the sample into two subperiods to capture the changing dynamics during the COVID-19 pandemic.


Design/methodology/approach
The authors retrieve the novel fear sentiment data from Thomson Reuters MarketPsych Indices (TRMI). The authors denote the subperiods as pre- and post-COVID-19 considering January 13, 2020, when the first COVID-19 confirmed case was reported outside China. The authors use bivariate vector autoregressive models given below with lag-length k, to investigate the dynamics between BTC variables and fear sentiment.


Findings
BTC market measures have dissimilar dynamics before and after the Coronavirus outbreak. The results reveal that due to the excessive uncertainty led by the outbreak, an increase in fear sentiment negatively affects the BTC returns more persistently and significantly. For the post-COVID-19 period, an increase in fear also results in more fluctuations in transaction volume while its initial and cumulative effects are both negative. Due to extreme uncertainty caused by the COVID-19 pandemic, investors may trade more aggressively in the initial phases of the shock.


Practical implications
The authors are convinced that the results in this paper have more far-reaching implications for other markets regulated by the states. BTC provides a natural benchmark to understand how fear sentiment drives and impacts the markets isolated from any interventions. Hence, the results show that in the absence of regulatory frameworks, market dynamics are likely to be more volatile and the fear sentiment has more persistent impacts. The authors also highlight the importance of using micro, asset-specific sentiment measures to capture market dynamics better.


Originality/value
BTC is not associated with any regulatory authority and is not produced by the governments and central banks. COVID-19 as a natural experiment provides an opportunity to explore the pure effects of market sentiment on BTC considering its decentralized and unregulated features. The paper has two main contributions. First, the authors use BTC-specific fear sentiment novel data set of TRMI instead of more general market sentiments used in the existing studies. Next, this is the first study to examine the association between fear and BTC before and after COVID-19.
Anahtar Kelimeler
Makale Türü Özgün Makale
Makale Alt Türü SCOPUS dergilerinde yayınlanan tam makale
Dergi Adı Studies in Economics and Finance (SCOPUS)
Dergi ISSN 1086-7376 Wos Dergi Scopus Dergi
Dergi Tarandığı Indeksler Scopus
Makale Dili Türkçe
Basım Tarihi 09-2022
Cilt No 39
Sayı 1
Doi Numarası 10.1108/SEF-02-2021-0080
Makale Linki http://dx.doi.org/10.1108/sef-02-2021-0080
BM Sürdürülebilir Kalkınma Amaçları
Atıf Sayıları
Google Scholar 14
Bitcoin-specific fear sentiment matters in the COVID-19 outbreak

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