Purpose

This paper aims to empirically examine the effect of Coronavirus disease 2019 (COVID-19) pandemic on cryptocurrency market returns with particular attention to top five cryptocurrencies and COVID-19 confirmed and death cases.

Design/methodology/approach

The study applies the linear Toda and Yamamoto and nonlinear Diks and Panchenko Granger causality test to know the causal relationship of cryptocurrencies with COVID-19 pandemic. The study also uses the Narayan and Popp endogenous two structural break tests to capture the break period of the sample.

Findings

The findings of the study confirm the existence of unidirectional causal relation from COVID-19 confirmed and death cases to cryptocurrency price returns. While examining the break periods, the post-break period result indicates the presence of unidirectional linear causality from COVID-19 confirmed cases to Bitcoin and Ethereum price returns. This shows that prior knowledge of COVID-19 pandemic growth helps to predict the return of cryptocurrencies.

Originality/value

The study suggests the investors or crypto lovers to observe the growth of COVID-19 situations during their investment in cryptocurrency markets.

中文翻译：

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COVID-19 大流行和加密货币市场：线性和非线性因果关系的实证分析

目的

本文旨在实证检验 2019 年冠状病毒病 (COVID-19) 大流行对加密货币市场回报的影响，特别关注前五种加密货币以及 COVID-19 确诊病例和死亡病例。

设计/方法/方法

该研究应用线性 Toda 和 Yamamoto 以及非线性 Diks 和 Panchenko Granger 因果关系检验来了解加密货币与 COVID-19 大流行的因果关系。该研究还使用 Narayan 和 Popp 内源性两种结构断裂测试来捕捉样品的断裂期。

发现

研究结果证实了 COVID-19 确诊病例和死亡病例与加密货币价格回报之间存在单向因果关系。在检查中断期时，中断期后的结果表明存在从 COVID-19 确诊病例到比特币和以太坊价格回报的单向线性因果关系。这表明对 COVID-19 大流行增长的先验知识有助于预测加密货币的回归。

原创性/价值

该研究建议投资者或加密货币爱好者在投资加密货币市场期间观察 COVID-19 情况的增长。