Cargando…

The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: Evidence from the VAR-DCC-GARCH approach

Using intraday data, this study employs the VAR-DCC-GARCH model to examine return and volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and COVID-19 periods. We find that the return spillovers differ across both periods for the Bitcoin-Ethereum, Bitcoin-Litecoin,...

Descripción completa

Detalles Bibliográficos
Autores principales: Yousaf, Imran, Ali, Shoaib
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Borsa İstanbul Anonim şirketi. Production and hosting by Elsevier B.V. 2020
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7550079/
http://dx.doi.org/10.1016/j.bir.2020.10.003
Descripción
Sumario:Using intraday data, this study employs the VAR-DCC-GARCH model to examine return and volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and COVID-19 periods. We find that the return spillovers differ across both periods for the Bitcoin-Ethereum, Bitcoin-Litecoin, and Ethereum-Litecoin pairs. The volatility transmission is not significant between cryptocurrencies during the pre-COVID-19 period. We also find that the volatility spillover is unidirectional from Bitcoin to Ethereum and bidirectional between Ethereum and Litecoin during the COVID-19 period. Moreover, volatility transmission is not significant between Bitcoin and Litecoin during the COVID-19 period. The dynamic conditional correlations between all pairs of cryptocurrencies are higher during the COVID-19 period than during the pre-COVID-19 period. Lastly, we compute the optimal portfolio weights, time-varying hedge ratios, and hedging effectiveness for all pairs of cryptocurrencies during the pre-COVID-19 and COVID-19 periods. Overall, our findings provide new insights into channels of information transmission, which may improve the investment decisions and trading strategies of portfolio investors during crisis and non-crisis periods.