COVID-19 and bitcoin realized volatility.

Cryptocurrencies' market attracted substantial attention from investors, policy makers and researchers. Many studies were conducted to analyze the behavior of altcoins and their value in the midst of a pandemic. The investigations have yielded ambiguous results regarding the presence of coronavirus in markets since several studies showed that COVID-19 has either positive and negative impact on return financial markets, for negative impact see Huang et al. (2021), Corbet et al. (2020), Conlon and McGee (2020), Conlon et al. (2020), Grobys, (2020), and Chen et al. (2020), while for positive impact see Demir et al. (2020) Huang and Duan (2021), and Mnif and Jarboui (2021). In our paper, we study how the Bitcoin market was affected by the pandemic disease of COVID-19 by using EMV index (Baker et al., 2019) a newspaper-based Infectious Disease Equity Market Volatility Tracker. More specifically, we focus our attention on cryptocurrencies' markets in order to investigate the impact of COVID-19 disease on altcoin market. More specifically, we focus on the pandemic disease of COVID-19 investigating the impact of COVID-19 disease on the Bitcoin prices. The purpose of the research is the careful consideration of the impact of the pandemic on the daily returns of Bitcoin compared to the return of Bitcoin before the advent of COVID-19. For our analysis, we have been using intraday Bitcoin price data for about five years. We apply the Realized Volatility (RV) to compute the daily volatility from the intraday data of Bitcoin prices. The period of the research extends from January 1, 2016, to July 18, 2021, i.e., our study is carried out with 2026 Obs. This period contains several market phases, the post-crisis growth period (the period of growth after the American and European crisis), the pandemic onset period and the pandemic period. Also, our research is carried out using one of the most widely known models of volatility which are mainly used by researchers to predict volatility. This particular model is the Heterogeneous Autoregressive Model of Realized Volatility (HAR-RV) of Corsi (2009), and we use it to measure volatility and its forecast horizons are daily, weekly (t = 7), and monthly (t = 30). In addition, we include the variable for COVID-19 (as external variable) to the classic HAR-RV model since we focus on how the return of Bitcoin is affected by the new virus during the pandemic. Finally, the findings of the survey showed that the coronavirus caused upheaval in the financial markets (Chen et al., 2020). In particular, the presence of COVID-19 pandemic disease affects the Bitcoin market by increasing the realized volatility. [ABSTRACT FROM AUTHOR]