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COVID-19 vaccine confidence index and economic uncertainty indices: empirical evidence from the payment-based system cryptocurrency market

Author

Listed:
  • Shinta Amalina Hazrati Havidz
  • Esperanza Vera Anastasia
  • Natalia Shirley Patricia
  • Putri Diana

Abstract

Purpose - We investigated the association of COVID-19 indicators and economic uncertainty indices on payment-based system cryptocurrency (i.e. Bitcoin, Ripple and Dogecoin) returns. Design/methodology/approach - We used an autoregressive distributed lag (ARDL) model for panel data and performed robustness checks by utilizing a random effect model (REM) and generalized method of moments (GMM). There are 25 most adopted cryptocurrency’s countries and the data spans from 22 March 2021 to 6 May 2022. Findings - This research discovered four findings: (1) the index of COVID-19 vaccine confidence (VCI) recovers the economic and Bitcoin has become more attractive, causing investors to shift their investment from Dogecoin to Bitcoin. However, the VCI was revealed to be insignificant to Ripple; (2) during uncertain times, Bitcoin could perform as a diversifier, while Ripple could behave as a diversifier, safe haven or hedge. Meanwhile, the movement of Dogecoin prices tended to be influenced by public figures’ actions; (3) public opinion on Twitter and government policy changes regarding COVID-19 and economy had a crucial role in investment decision making; and (4) the COVID-19 variants revealed insignificant results to payment-based system cryptocurrency returns. Originality/value - This study contributed to verifying the vaccine confidence index effect on payment-based system cryptocurrency returns. Also, we further investigated the uncertainty indicators impacting on cryptocurrency returns during the COVID-19 pandemic. Lastly, we utilized the COVID-19 variants as a cryptocurrency returns’ new determinant.

Suggested Citation

  • Shinta Amalina Hazrati Havidz & Esperanza Vera Anastasia & Natalia Shirley Patricia & Putri Diana, 2024. "COVID-19 vaccine confidence index and economic uncertainty indices: empirical evidence from the payment-based system cryptocurrency market," International Journal of Social Economics, Emerald Group Publishing Limited, vol. 51(11), pages 1370-1387, February.
    • Handle: RePEc:eme:ijsepp:ijse-05-2023-0392
    DOI: 10.1108/IJSE-05-2023-0392
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