Are COVID-19-Related Economic Supports One of the Drivers of Surge in Bitcoin Market? Evidence from Linear and Non-Linear Causality Tests


Mathematics, vol.11, no.1, 2023 (SCI-Expanded) identifier

  • Publication Type: Article / Article
  • Volume: 11 Issue: 1
  • Publication Date: 2023
  • Doi Number: 10.3390/math11010196
  • Journal Name: Mathematics
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Aerospace Database, Communication Abstracts, Metadex, zbMATH, Directory of Open Access Journals, Civil Engineering Abstracts
  • Keywords: Bitcoin, bootstrap Toda–Yamamoto causality test, COVID-19 economic supports, Fourier unit root test, Fractional Frequency Flexible Fourier form Toda–Yamamoto causality test
  • Anadolu University Affiliated: Yes


The aim of this study was to investigate the causal relations between COVID-19 economic supports and Bitcoin markets. For this purpose, we first determined the degree of the integration of variables by implementing Fourier Augmented Dickey–Fuller unit root tests. Then, we carried out both linear (Bootstrap Toda–Yamamoto) and non-linear (Fractional Frequency Flexible Fourier form Toda–Yamamoto) causality tests to consider the nonlinearities in variables, to determine if the effects of multiple structural breaks were temporary or permanent, and to evaluate the unidirectional causality running from COVID-19-related economic supports and the price, volatility, and trading volume of Bitcoin. Our study included 158 countries, and we used daily data over the period from 1 January 2020 and 10 March 2022. The findings of this study provide evidence of unidirectional causalities running from COVID-19-related economic supports to the price, volatility, and trading volume of Bitcoin in most of the countries in the sample. The application of non-linear causality tests helped us obtain more evidence about these causalities. Some of these causalities were found to be permanent, and some of them were found to be temporary. The results of the study indicate that COVID-19-related economic supports can be considered a major driver of the surge in the Bitcoin market during the pandemic.