Abstract
In this paper we investigate the predictability of cryptocurrency returns following increases in Covid-19 cases/deaths. We find that the rate of government intervention moderates the impact that Covid-19 cases/deaths have on cryptocurrency returns. We show that in periods of tightening government intervention, increases in Covid-19 cases positively predict cryptocurrency returns. We argue that this is due to investors imputing their expectations of the pandemic through a ‘combined’ signal.
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