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Fig. 7 | Financial Innovation

Fig. 7

From: Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

Fig. 7

Source Authors’ own work. Notes: The incidence of the connection between each RavenPack coronavirus related indices and daily changes of Bitcoin price is investigated at frequencies 2–3, 1–2, and 0–1. These frequencies show a short, medium, and long-term relationship. 0–1 is established as permanent causality, while 2–3 is recognized as temporary causality. The (red) upper line and the (brown) lower line represent statistically significant levels of 5 and 10%, respectively. The (blue) curves are used for statistical tests of various interval frequencies (0, π). Variables’ description is provided in Table 4

Plots of frequency domain Granger causality test from RavenPack coronavirus related indices to Bitcoin.

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