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Financial Innovation

Table 11 Results of frequency domain causality test from Bitcoin to RavenPack coronavirus-related indices

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

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

Long term

Medium term

Short term

0.01

0.05

1

1.5

2

2.5

BTC → PI

13.9038***

13.9034***

13.3386***

11.0315***

8.3672**

8.6330**

BTC → HI

14.4251***

14.4240***

13.1558***

8.2573**

2.6569

3.3568

BTC → FNI

2.2370

2.2368

2.1579

2.1994

2.5456

2.7131

BTC → SI

0.1473

0.1474

0.2717

0.8303

1.5014

1.4583

BTC → II

0.2886

0.2886

0.2674

0.2351

0.2425

0.2716

BTC → MCI

1.0456

1.0447

0.6717

0.6640

1.8917

2.5952

  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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