Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis

被引：102
|
作者：
Khalfaoui, Rabeh [1 ]
Gozgor, Giray [2 ,3 ,4 ]
Goodell, John W. [5 ]
机构：
[1] ICN Business Sch, Nancy, France
[2] Univ Bradford, Sch Management, Bradford, England
[3] Istanbul Medeniyet Univ, Fac Polit Sci, Istanbul, Turkiye
[4] Lebanese Amer Univ, Adnan Kassar Sch Business, Beirut, Lebanon
[5] Univ Akron, Coll Business, Akron, OH 44325 USA
来源：
FINANCE RESEARCH LETTERS | 2023年 / 52卷
关键词：
Russia-Ukraine war; Google Trends; Cryptocurrencies; Stock markets; Quantile cross-spectral analysis; STOCK MARKETS; COHERENCY; FEAR;
D O I：
10.1016/j.frl.2022.103365
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Cryptocurrency values have recently fallen substantially. Why? We examine the impact of attention on the Russia-Ukraine War, proxied by Google Trends, on cryptocurrencies (and equity) to measure the returns coherences. Using quantile cross-spectral analysis and daily data for February 24, 2022-June 21, 2022, we observe that co-movements between War attention and cryptocurrencies depends on investment horizon and market state. Under bearish and normal (bull) markets, War attention negatively (positively) affects all cryptocurrencies in the short term. Results are consistent with cryptocurrency investors responding to War attention by seeking liquidity, with recent price falls explained as sell-offs by large holders.
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页数：14
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