文献类型：期刊文献

英文题名：Cryptocurrency price discrepancies under uncertainty: Evidence from COVID-19 and lockdown nexus

作者：Chen, Meichen[1,2];Qin, Cong[3];Zhang, Xiaoyu[4]

机构：[1]East China Univ Sci & Technol, Sch Business, 130 Meilong Rd, Shanghai, Peoples R China;[2]East China Univ Sci & Technol, Oliver Hart Res Ctr, 130 Meilong Rd, Shanghai, Peoples R China;[3]Renmin Univ China, Natl Acad Dev & Strategy, 59 Zhongguancun St, Beijing, Peoples R China;[4]Shanghai Int Studies Univ, Sch Business & Management, 1550 Wenxiang Rd, Shanghai, Peoples R China

年份：2022

卷号：124

外文期刊名：JOURNAL OF INTERNATIONAL MONEY AND FINANCE

收录：;WOS:【SSCI(收录号:WOS:000791333600012)】；

基金：The authors thank the anonymous referee of the Journal of International Money and Finance for the very helpful com-ments and suggestions. Cong Qin thankfully acknowledges financial support from the Fundamental Research Funds for the Central Universities and the Research Funds of Renmin University of China [Grant number: 19XNF009] and the National Natural Science Foundation of China [Grant number: 72003187] . Meichen Chen is sponsored by Shanghai Pujiang Program [2020PJ028] and the Fundamental Research Funds for the Central Universities [JKN0120022001] . Xiaoyu Zhang gratefully acknowledges finort from the Fundamental Research Fuds for the Central Universities and the Research Funds of Renmin University of China [19XNF009] , the National Natural Science Foundation of China [no. 72003187] , the Foundation of Shang-hai International Studies University [no. 2020114086] , and the Innovative Research Team of Shanghai International Studies University [no. 2020114047] . Authorship is alphabetical - the three authors have contributed equally. All remaining errors are our own.

语种：英文

外文关键词：Price discrepancies; Bitcoin; Uncertainty; COVID-19; Investor sentiment

摘要：The past decades have witnessed recurrent price discrepancies in cryptocurrency markets across countries. In addition to prior explanations that generally attribute this phenomenon to domestic capital controls during normal periods, we provide another explanation that investors perceive cryptocurrency as an alternative (hedging) investment, especially under uncertainty. Using the emerging of the COVID-19 pandemic in 2020 and the subsequent lockdown policies implemented by a group of countries as natural experiments, we adopt a difference-in-difference framework to examine how the nexus affects Bitcoin price discrepancies. We find that price discrepancies are larger in countries with confirmed cases of COVID-19 and rigorously implementing lockdown policies. We then verify our "alternative investment" hypothesis on the mechanism by showing that countries with intensified exposure to media hype on COVID-19 topics and with more panic emotion among citizens during the pandemic generally experienced larger Bitcoin price discrepancies than their counterparts. We also find that domestic capital control, sanitary policy stringency, uncertainty aversion, individualistic culture, and governmental power could moderate the general effect.(c) 2022 Elsevier Ltd. All rights reserved.