COVID-19 and Cryptocurrency Market: Impact on Return, Volatility and Liquidity

In this study, we examine the impact of COVID-19 pandemic on the return, volatility and liquidity of the cryptocurrencies using panel data analysis. We consider the four variables related to the COVID-19 pandemic: (i) percentage change in total confirmed cases, (ii) percentage change in total recovered cases, (iii) percentage change in total death cases, and (iv) the investor’s attention towards the COVID-19 pandemic. The findings indicate that percentage change in recovered cases and investor attention towards COVID-19 have a significant positive impact on returns of cryptocurrencies. The volatility in cryptocurrencies is negatively influenced by the percentage change in recovered cases. Moreover, the percentage change in recovered cases has a significant negative impact and investor attention towards COVID-19 has a significant positive impact on the liquidity of cryptocurrencies.