Bitcoin Returns and Public Attention to COVID-19: Do Timing and Individualism Matter?

TL;DR

This study investigates how public attention to COVID-19 influences Bitcoin returns, emphasizing the roles of timing and cultural individualism versus collectivism across eight major economies.

Contribution

It introduces a novel approach using rolling and recursive algorithms to analyze causality, accounting for timing variations and sampling biases in COVID-19 attention data.

Findings

Collectivistic countries have a stronger causal impact on Bitcoin returns.

Timing of COVID-19 attention varies significantly across countries.

The method accounts for sampling variation and timing in causality analysis.

Abstract

The evolution of the pandemic and people's concern over it have an impact on the Bitcoin market, while the extent of individualism could differentiate investor behaviors in the financial market during the pandemic. This paper examines whether public attention to COVID-19 in individualistic countries versus collectivistic countries Granger causes Bitcoin returns between February 11, 2020 and May 09, 2022. To this end, eight large economies with a individualistic or collectivistic tradition are chosen for analyses. By using rolling and recursive-evolving algorithms, it accounts for the timing of COVID-19 issues that vary by country and circumvents the potential estimation bias that a traditional Granger causality test may suffer due largely to Google's sampling variation for different time frames. In general, collectivistic countries are found to have stronger causal impacts on Bitcoin returns than individualistic countries.