Structural Breaks and Co-Movements of Bitcoin and Ethereum: Evidence from the COVID-19 Pandemic Period

Bilgehan Tekin
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Bilgehan Tekin: Çankırı Karatekin University, Çankırı, Türkiye

Journal of Central Banking Theory and Practice, 2024, vol. 13, issue 2, 41-70

Abstract: This study examined the structural breakdowns and co-movements of Bitcoin (BTC) and Ethereum (ETH) cryptocurrencies from the onset of the COVID-19 pandemic. The Bai-Perron test was used to determine the change in the mean and variance of the two principal actors regarding market capitalization in the cryptocurrency market. Wavelet coherence analysis was also used to detect the co-movements between BTC and ETH. As a result of the study, several similar breaks were seen in each BTC and ETH series. Only one break could be directly associated with the pandemic process. This means that the pandemic is internalized and normalized in the process. The wavelet coherence results indicate a strong positive dependency (dark warm colours) between BTC and ETH and in phase (in the same direction) in the short and long bandgaps.

Keywords: Structural Break; Co-Movement; Cryptocurrency. (search for similar items in EconPapers)
JEL-codes: C22 C50 G10 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:cbk:journl:v:13:y:2024:i:2:p:41-70

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