Abstract
The Covid 19 pandemic is the first major crisis facing cryptocurrencies. Therefore, the reaction of the cryptocurrency markets is important. News about epidemics affects investors' decisions. Panic index (PIndex) is an index created from news about the Covid 19 outbreak. In the study, it is used to measure the impact of decisions on the crypto money market. As cryptocurrencies, Bitcoin (BTC), Etherium (ETH), and Ripple (XRP), which have the highest transaction volume in the crypto money market, are included in the analysis. The relationship between Panic Index and the three major cryptocurrencies with the largest share in the cryptocurrency market was investigated by Ardl and Hatemi-J asymmetric causality test. Traditional causality tests acknowledge that the effects of positive and negative changes are the same. However, there may be asymmetric information and different investor behaviors in financial markets. In the study, Hatemi-J [1] Asymmetric Causality Test was conducted to examine the asymmetric relationship and symmetric relationship between Pindex and cryptocurrencies by separating them into positive and negative shocks. According to the results of the Hatemi-J causality analysis, positive shocks in the panic index are the cause of negative shocks for all cryptocurrencies. In other words, increases in the panic index are caused to fall the value of Bitcoin, Ethereum, and Ripple cryptocurrencies decrease. The results show that cryptocurrencies were not a safe haven for the investor during the Covid 19 period, as they acted similarly to other financial assets.
Highlights
The Covid 19 pandemic emerged in China in late 2019
The cointegration relationship between variables was examined by the ARDL cointegration test
The causality relationship between variables was investigated with the Hatemi-J asymmetric causality test
Summary
The Covid 19 pandemic emerged in China in late 2019. On March 11, 2020, the World Health Organization (WHO) declared a global pandemic due to the number of cases approaching 500,000 and its spread to more than 170 countries. It is known that the Covid 19 outbreak affected all financial markets. This rapid progress in the pandemic caused the risk to rapidly become unpredictable in the financial markets and the loss of investors. 30% decreases were seen in the first quarter of 2020. The loss of confidence in financial institutions and the financial structures of governments after the global crisis in 2008 caused the popularity of crypto money systems to increase. Cryptocurrencies have been viewed as an alternative to avoiding political interference, war risks, and the damage caused by Central Bank policies
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