ArticleFinance research letters2022
How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? Evidence from non-parametric causality-in-quantiles techniques.
Article in Finance research letters, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 6 papers.
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Who cites it
6 citing papers in PubMed.
- The dynamic network of industries in US stock market: Evidence of GFC, COVID-19 pandemic and Russia-Ukraine war.Heliyon · 2023Article
- COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics Approaches.Entropy (Basel, Switzerland) · 2023Article
- Does economic policy uncertainty drive the dynamic spillover among traditional currencies and cryptocurrencies? The role of the COVID-19 pandemic.Research in international business and finance · 2023Article
- Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality.Financial innovation · 2023Article
- Cryptocurrency market connectedness in Covid-19 days and the role of Twitter: Evidence from a smooth transition regression model.Research in international business and finance · 2022Article
- Time-frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic.Financial innovation · 2022Article
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Authors and funding
4 authors.
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Abstract
This research examines the impact of the COVID-19 on cryptocurrencies' connectedness by employing two techniques: TVP-VAR-based connectedness and causality in the quantiles. First, the TVP-VAR-based connectedness unveils that cryptocurrencies act as a net receiver and transmitter of shocks, with Bitcoin, Ethereum are the highest transmitters among others. Moreover, the causality-in-quantile test shows that COVID-19 significantly causes spillover connectedness among cryptocurrencies, mainly at the quantiles ranging from 0.1 to 0.8, while an insignificant causal relationship is found in few cases. The study has implications for investors and policymakers.
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