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Attention to Authority: The behavioural finance of Covid-19

Author

Listed:
  • Burke, Matt
  • Fry, John
  • Kemp, Sean
  • Woodhouse, Drew

Abstract

In this paper we investigate the predictability of cryptocurrency returns following increases in Covid-19 cases/deaths. We find that the rate of government intervention moderates the impact that Covid-19 cases/deaths have on cryptocurrency returns. We show that in periods of tightening government intervention, increases in Covid-19 cases positively predict cryptocurrency returns. We argue that this is due to investors imputing their expectations of the pandemic through a ‘combined’ signal.

Suggested Citation

  • Burke, Matt & Fry, John & Kemp, Sean & Woodhouse, Drew, 2022. "Attention to Authority: The behavioural finance of Covid-19," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003087
    DOI: 10.1016/j.frl.2022.103081
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    References listed on IDEAS

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    More about this item

    Keywords

    Covid-19; Asset pricing; Cryptocurrency;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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