In this letter, we analyse the effect of the COVID-19 pandemic on the network topology of the cryptocurrency market. Our results show that COVID-19 significantly affected this market during a short period of financial panic, from 12 March 2020 to 1 April 2020. Since then, it progressively...

We investigated the differential impacts of a new Twitter-based Market Uncertainty index (TMU) and variables for Bitcoin before and during the COVID-19 pandemic. Results showed that TMU is a leading indicator of Bitcoin returns only during the pandemic, and the effect of the TMU on Bitcoin's...

We investigate the differential effects of a new index of Twitter-based market uncertainty (TMU) and variables for the US equity market before and during the COVID-19 pandemic. We find that markets are significantly more sensitive to the uncertainty contained in tweets during the pandemic, the...

The global pandemic of coronavirus has created an unprecedented economic lockdown. Although past pandemics have caused a short run market shock with quick recovery, this pandemic is believed to last as some sectors are deemed to disappear or change. Accordingly, this paper investigates the...

During the COVID-19 pandemic all of the Fama and French (2018) factors except momentum lost money. But this is atypical – historically the value, profitability, investment and momentum factors are more profitable in bear markets. Duration explains both their COVID-19 losses and other...

This study investigates speculative bubbles in the cryptocurrency market and factors affecting bubbles during the COVID-19 pandemic. Our results indicate that each cryptocurrency covered in the study presented bubbles. Moreover, we found that explosive behavior in one currency leads to...

Analyzing comovements and connectedness is critical for providing significant implications for crypto-portfolio risk management. However, most existing research focuses on the lower-order moment nexus (i.e. the return and volatility interactions). For the first time, this study investigates the...

Does death teach us wisdom or defy the power of reason? Our paper aims to explore this fundamental question by examining investors’ decision framing in their account-level trading on the National Stock Exchange of India during the early pandemic period. We find that the first reported local...

We examine how forecast behaviors of East Asian financial analysts would change in the face of the escalated crimes against Asians amid the COVID-19 pandemic. Using a Difference-in-Differences approach, we demonstrate that the forecast quality of East Asian analysts deteriorates during the...

Using an asset pricing model of a multi-sector production economy with pandemic disasters, we explain the average stock price boom and significant cross-sectional variation of stock returns in the US and Japan during the COVID-19 pandemic recession. Two features of the pandemic, ambiguity and...