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Financial Innovation

Table 10 Results of frequency domain causality test from RavenPack coronavirus-related indices to Bitcoin

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

 

Long term

Medium term

Short term

\({\omega }_{i}\)

0.01

0.05

1

1.5

2

2.5

PI → BTC

4.3928

4.3879

1.0100

0.7792

1.0201

1.1636

HI → BTC

4.4489

4.4461

0.0962

0.0008

0.0147

0.0272

FNI → BTC

9.0938**

9.0839**

3.2947

1.5765

3.2324

4.3087

SI → BTC

0.6145

0.6374

5.0260*

4.6845*

4.5306

4.4632

II → BTC

2.7229

2.7147

0.2455

0.3452

0.4133

0.4456

MCI → BTC

2.8498

2.8828

2.0840

1.5089

1.3221

1.2481

  1. Source: Authors’ own computations. Notes: Superscripts *, **, *** represent the significance at 10%, 5%, and 1% levels, respectively. Variables’ description is provided in Table 4
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