Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic

We examine the interactions between cryptocurrency price volatility and liquidity during the outbreak of the COVID-19 pandemic. Evidence suggests that these developing digital products have played a new role as a potential safe-haven during periods of substantial financial market panic. Results sugg...

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Detalles Bibliográficos
Autores principales: Corbet, Shaen, Hou, Yang (Greg), Hu, Yang, Larkin, Charles, Lucey, Brian, Oxley, Les
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Authors. Published by Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8856899/
https://www.ncbi.nlm.nih.gov/pubmed/35221811
http://dx.doi.org/10.1016/j.frl.2021.102137
Descripción
Sumario:We examine the interactions between cryptocurrency price volatility and liquidity during the outbreak of the COVID-19 pandemic. Evidence suggests that these developing digital products have played a new role as a potential safe-haven during periods of substantial financial market panic. Results suggest that cryptocurrency market liquidity increased significantly after the WHO identification of a worldwide pandemic. Significant and substantial interactions between cryptocurrency price and liquidity effects are identified. These results add further support to the argument that substantial flows of investment entered cryptocurrency markets in search of an investment safe-haven during this exceptional black-swan event.

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