Impact of Market Volatility on Investor Sentiment: Evidence from COVID-19 and Crypto-Currencies

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Abstract

We study how investor sentiment responds to the prevalence of COVID-19 induced equity market volatility. Using the quantile-on-quantile approach, we report a strong relationship between sentiment and volatility. We note that low to medium volatility yield minimum fear, with high volatility triggering extreme fear in the crypto market.

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europepmc
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unpaywall
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