Abstract: This study aims to investigate the effect of fear sentiment with a novel data set on Bitcoin's return, volatility and transaction volume. We divide the sample into two subperiods in order to capture the changing dynamics during the Covid-19 pandemic. We retrieve the novel fear sentiment data from Thomson Reuters MarketPsych Indices (TRMI). We denote the subperiods as pre-and post-COVID19 considering January 13th, 2020, when first Covid-19 confirmed case was reported outside China. We employ bivariate vector autoregressive (VAR) models given bel...
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Topics: 
Econometrics
Financial economics
Monetary economics