COVID-19 pandemic and cryptocurrency markets: an empirical analysis from a linear and nonlinear causal relationship

摘要

Purpose - This paper aims to empirically examine the effect of Coronavirus disease 2019 (COVID-19)pandemic on cryptocurrency market returns with particular attention to top five cryptocurrencies andCOVID-19 confirmed and death cases.Design/methodology/approach - The study applies the linear Toda and Yamamoto and nonlinearDiks and Panchenko Granger causality test to know the causal relationship of cryptocurrencies withCOVID-19 pandemic. The study also uses the Narayan and Popp endogenous two structural break tests tocapture the break period of the sample.Findings - The findings of the study confirm the existence of unidirectional causal relation from COVID-19confirmed and death cases to cryptocurrency price returns. While examining the break periods, the post-breakperiod result indicates the presence of unidirectional linear causality from COVTD-19 confirmed cases toBitcoin and Ethereum price returns. This shows that prior knowledge of COVID-19 pandemic growth helps topredict the return of cryptocurrencies.Originality/value - The study suggests the investors or crypto lovers to observe the growth of COVID-19situations during their investment in cryptocurrency markets.