Impacts of COVID-19 on the Return and Volatility Nexus among Cryptocurrency Market

Complexity 2022:1-15 (2022)
  Copy   BIBTEX

Abstract

The impacts of COVID-19 have spread rapidly to global financial markets. In this context, combining the spillover index method introduced by Diebold and Yilmaz and the complex network analysis framework, we examined the volatility connectedness and the topological structure among the top ten cryptocurrencies before and during the COVID-19 crisis. The results revealed that the total volatility connectedness of the cryptocurrency market markedly increased following the outbreak of COVID-19; statically, Bitcoin, Ethereum, Cardano, and Bitcoin Cash were the net transmitters before COVID-19, while Bitcoin, Ethereum, Ripple, Litecoin, Cardano, and Stellar became the major net transmitters in the market after COVID-19. Dynamically, the dynamic performance of different cryptocurrencies during the COVID-19 pandemic was heterogeneous, and the possible driving factors are diverse. Moreover, from network analysis, we further found that the COVID-19 crisis has significantly changed the topological structure of the cryptocurrency market. Our findings may help understand the typical dynamics in the cryptocurrency market and provide significant implications for portfolio managers, investors, and government agencies in times of highly stressful events like the COVID-19 crisis.

Links

PhilArchive



    Upload a copy of this work     Papers currently archived: 92,100

External links

Setup an account with your affiliations in order to access resources via your University's proxy server

Through your library

Similar books and articles

The effects from the United States and Japan to emerging stock markets in Asia and Vietnam.Nguyen Thi Ngan, Nguyen Thi Diem Hien & Hoang Trung Nghia - 2019 - Science and Technology Development Journal – Economics - Law and Management 3 (4):440-450.
Cryptocurrency functioning in the global economy.Nataliya Krasnikova, N. V. Stukalo & O. Balash - 2018 - Visnyk of Dnipro University. Ser. World Economy and International Economic Relations 10:109-119.

Analytics

Added to PP
2022-05-21

Downloads
7 (#1,389,841)

6 months
3 (#981,027)

Historical graph of downloads
How can I increase my downloads?

Citations of this work

No citations found.

Add more citations

References found in this work

No references found.

Add more references