How media coverage news and global uncertainties drive forecast of cryptocurrencies returns?

This paper aims to investigate the impact of global financial, economic, and gold price uncertainty indices (VIX, EPU, and GVZ) and investor sentiment based on media coverage news on the returns of Bitcoin and Ethereum during the COVID-19 pandemic. We adopt an asymmetric framework based on the Quantile-on-Quantile approach, which examines the quantiles of the cryptocurrency returns, investor sentiment, and the various uncertainties indicators. The empirical findings suggest that the COVID-19 pandemic has significantly impacted cryptocurrency returns.