How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? Evidence from non-parametric causality-in-quantiles techniques

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 Bit...

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Detalles Bibliográficos
Autores principales: Raza, Syed Ali, Shah, Nida, Guesmi, Khaled, Msolli, Badreddine
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9700708/
https://www.ncbi.nlm.nih.gov/pubmed/36466969
http://dx.doi.org/10.1016/j.frl.2021.102569
Descripción
Sumario: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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