Pandemics and cryptocoins
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Date
Authors
Salisu, Afees A.
Ogbonna, Ahamuefula E.
Oloko, Tirimisiyu F.
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
This study examines the effect of pandemic-induced uncertainty on cryptocoins (Bitcoin, Ethereum and Ripple). It employs the Westerlund and Narayan (2012, 2015) predictive model to examine the predictability of pandemic-induced uncertainty and our model’s forecast performance. We examine the role of asymmetry in uncertainty and the sensitivity of our results to the recently-developed Salisu and Akanni (2020) Global Fear Index. Cryptocoins act as a hedge against uncertainty due to pandemics, albeit with reduced hedging effectiveness in the COVID 19 period. Accounting for asymmetry improves predictability and model forecast performance. Our results may be sensitive to the choice of measure of pandemic-
Description
Keywords
Cryptocoins, Distributed lag model, Pandemic, Uncertainty, COVID-19 pandemic, Coronavirus disease 2019 (COVID-19), SDG-08: Decent work and economic growth
Sustainable Development Goals
SDG-08:Decent work and economic growth
Citation
Salisu, A.A., Ogbonna, A.E. & Oloko, T.F. 2023, 'Pandemics and cryptocoins', IIMB Management Review, vol. 35, no. 2, pp. 164-175, doi: 10.1016/j.iimb.2023.06.002.