Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis

• Published in: Finance research letters 2023-03, Vol.52, p.103365, Article 103365
• Main Authors: Khalfaoui, Rabeh, Gozgor, Giray, Goodell, John W.
• Format: Article
• Language: English
• Subjects: Cryptocurrencies; Google Trends; Quantile cross-spectral analysis; Quantitative Finance; Russia-Ukraine war; Stock markets
• ISSN: 1544-6123; 1544-6131
• DOI: 10.1016/j.frl.2022.103365

•Is the Russian-Ukraine war explaining cryptocurrency price falls?•Return coherences with attention on the Russia-Ukraine War.•Co-movements between War attention and cryptocurrencies.•War attention negatively (positively) affects all cryptocurrencies in the short term.•Results consistent with cryptocurrency investors responding to War attention by seeking liquidity. Cryptocurrency values have recently fallen substantially. Why? We examine the impact of attention on the Russia-Ukraine War, proxied by Google Trends, on cryptocurrencies (and equity) to measure the returns coherences. Using quantile cross-spectral analysis and daily data for February 24, 2022–June 21, 2022, we observe that co-movements between War attention and cryptocurrencies depends on investment horizon and market state. Under bearish and normal (bull) markets, War attention negatively (positively) affects all cryptocurrencies in the short term. Results are consistent with cryptocurrency investors responding to War attention by seeking liquidity, with recent price falls explained as sell-offs by large holders.