Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach

Nidhal Mgadmi (), Azza Béjaoui () and Wajdi Moussa ()
Additional contact information
Nidhal Mgadmi: Faculty of Economics and Management
Azza Béjaoui: Manouba University
Wajdi Moussa: High Institute of Management

Asia-Pacific Financial Markets, 2023, vol. 30, issue 3, No 2, 457-473

Abstract: Abstract In this paper, we attempt to understand and identify the cyclical fluctuations in cryptocurrency markets. To this end, we apply the Markov-Switching approach on daily prices of 17 selected digital currencies. This model allows us to capture the nonlinear structure in cryptocurrencies’ prices. The empirical results clearly show potential difference(s) among digital currencies when they react to the varying levels of the pandemic's severity. The existence of two distinguishable states and each state seems to be characterized by different features of market cycle’s phase for each cryptocurrency. So, the Covid19 pandemic affects asymmetrically the different market phases of digital currencies. Such findings can have insightful portfolios implications.

Keywords: Digital currencies; Health crisis; Markov switching (search for similar items in EconPapers)
JEL-codes: C22 C5 G1 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s10690-022-09384-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09384-6

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

DOI: 10.1007/s10690-022-09384-6

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().