ABSTRACT

This paper studies the impact of fear sentiment caused by the coronavirus pandemic on Bitcoin price dynamics. We construct a new proxy for coronavirus fear sentiment using hourly Google search queries on coronavirus-related words. The results show that market volatility has been exacerbated by fear sentiment as the result of an increase in search interest in coronavirus. Moreover, we find that negative Bitcoin returns and high trading volume can be explained by fear sentiment regarding the coronavirus. Our results also show that Bitcoin fails to act as a safe haven during the pandemic.

中文翻译：

---

恐惧情绪，不确定性和比特币价格动态：以COVID-19为例

摘要

本文研究了冠状病毒大流行引起的恐惧情绪对比特币价格动态的影响。我们使用每小时一次的Google搜索查询冠状病毒相关字词，为冠状病毒恐惧情绪构建新的代理。结果表明，由于对冠状病毒的搜索兴趣增加，恐惧情绪加剧了市场波动。此外，我们发现，对冠状病毒的恐惧情绪可以解释比特币的负收益和高交易量。我们的结果还表明，在大流行期间，比特币未能充当避风港。