COVID-19 and cryptocurrency market: Evidence from quantile connectedness

Naeem M.A. Qureshi S. Rehman M.U. Balli F.
2022 Routledge

Applied Economics
2022 #54 Issue 3 280 - 306 pp.

This study quantifies the spillover effects among seven cryptocurrencies to explore the spillover characteristics of seven cryptocurrencies, namely, Bitcoin, Ethereum, Ripple, Litecoin, Monero, Stellar, and NEM. The connectedness networks of returns are based on standard VAR and quantile VAR spillovers. In addition, the framework focuses on intact, pre-, and post-COVID-19 crisis sub-sample periods. Our results highlight that Bitcoin, Litecoin, and Ripple are the dominant transmitters to return spillover. The strongest interconnection is found for Bitcoin/Litecoin and Ripple/Sellar pair. Interestingly, Ethereum is the unvarying recipient in the system and is influenced by most of the cryptocurrencies. Further, NEM exhibits no connection with any of the cryptocurrency in the network acting as a potential diversifier. The quantile spillovers suggest increased intensity of connectedness at right and left tails. The sub-sample analysis confirms the low network integration across the cryptocurrencies during pre-COVID period. Finally, the post-COVID period indicates tangled clusters across the cryptocurrencies. The analysis provides contrasting results as obtained in the pre-analysis phase. Implications for investors and policymakers are highlighted in the study.

COVID-19 , cryptocurrency market , extreme return spillovers , quantile connectedness

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Smurfit Graduate School of Business, University College Dublin, Ireland
Institute of Business Administration, University of Sindh, Pakistan
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), Islamabad, Pakistan
School of Economics and Finance, Massey University, Palmerston North, New Zealand
Al-Farabi Kazakh National University, Almaty, Kazakhstan

Smurfit Graduate School of Business
Institute of Business Administration
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST)
School of Economics and Finance
Al-Farabi Kazakh National University

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