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

Syed Raza, Nida Shah, Khaled Guesmi and Badreddine Msolli

Finance Research Letters, 2022, vol. 47, issue PA

Abstract: 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.

Keywords: COVID-19; Cryptocurrencies; TVP-VAR; Causality-in-quantiles technique (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005225

DOI: 10.1016/j.frl.2021.102569

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