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
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author Corbet, Shaen
Hou, Yang (Greg)
Hu, Yang
Larkin, Charles
Lucey, Brian
Oxley, Les
author_facet Corbet, Shaen
Hou, Yang (Greg)
Hu, Yang
Larkin, Charles
Lucey, Brian
Oxley, Les
author_sort Corbet, Shaen
collection PubMed
description 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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spelling pubmed-88568992022-02-22 Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic Corbet, Shaen Hou, Yang (Greg) Hu, Yang Larkin, Charles Lucey, Brian Oxley, Les Financ Res Lett Article 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. The Authors. Published by Elsevier Inc. 2022-03 2021-05-16 /pmc/articles/PMC8856899/ /pubmed/35221811 http://dx.doi.org/10.1016/j.frl.2021.102137 Text en © 2021 The Authors. Published by Elsevier Inc. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Corbet, Shaen
Hou, Yang (Greg)
Hu, Yang
Larkin, Charles
Lucey, Brian
Oxley, Les
Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic
title Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic
title_full Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic
title_fullStr Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic
title_full_unstemmed Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic
title_short Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic
title_sort cryptocurrency liquidity and volatility interrelationships during the covid-19 pandemic
topic Article
url 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
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