Attention to Authority: The behavioural finance of Covid-19

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.

Citation

Burke, M., Fry, J., Kemp, S., & Woodhouse, D. (2022). Attention to Authority: The behavioural finance of Covid-19. Finance research letters, 49, Article 103081. https://doi.org/10.1016/j.frl.2022.103081

• Journal Article Type: Article
• Acceptance Date: Jun 17, 2022
• Online Publication Date: Jun 24, 2022
• Publication Date: 2022-10
• Deposit Date: Jun 17, 2022
• Publicly Available Date: Sep 5, 2022
• Journal: Finance research letters
• Print ISSN: 1544-6123
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 49
• Article Number: 103081
• DOI: https://doi.org/10.1016/j.frl.2022.103081
• Keywords: Covid-19; Asset pricing; Cryptocurrency
• Public URL: https://hull-repository.worktribe.com/output/4015386