How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?

Georgios Bampinas () and Theodore Panagiotidis

MPRA Paper from University Library of Munich, Germany

Abstract: This paper studies the cross-market linkages between six international stock markets and the two major cryptocurrency markets during the Covid-19 pandemic and the Russian invasion of Ukraine. By employing the local (partial) Gaussian correlation approach, we find that during the Covid-19 pandemic period both cryptocurrency markets possess limited diversification and safe haven properties, which further diminish during the war. Bootstrap tests for contagion suggest that during the Covid-19 pandemic the East Asian markets lead the transmission of contagion towards the two cryptocurrency markets. During the Russian invasion, the US stock market emerges as the principal transmitter of contagion. Uncovering the role of pandemic (Infectious Disease EMV Index) and geopolitical risk (GPR index) induced uncertainties, we find that under conditions of high uncertainty and financial distress the dependency between the US and UK stock markets with both cryptocurrency markets increases considerably. The latter is more profound during the Russian-Ukrainian conflict.

Keywords: Bitcoin; Ethereum; cryptocurrency; stock market; tail dependence; local Gaussian partial correlation; pandemic uncertainty; geopolitical risk uncertainty (search for similar items in EconPapers)
JEL-codes: C51 C58 G1 (search for similar items in EconPapers)
Date: 2023-01
New Economics Papers: this item is included in nep-cis, nep-des, nep-pay, nep-rmg and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/117094/1/MPRA_paper_117094.pdf original version (application/pdf)

Related works:
Journal Article: How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages? (2024)
Working Paper: How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages? (2024)
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:pra:mprapa:117094

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().