An enquiry into extreme price movements of the cryptocurrencies in the backdrop of COVID-19

Suvvari Anandarao, Balaga Mohana Rao and Anoop S Kumar
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Suvvari Anandarao: Institute of Management Technology, Hyderabad, India
Balaga Mohana Rao: Indian Institute of Technology, Dharward, India

Theoretical and Applied Economics, 2023, vol. XXX, issue 2(635), Summer, 231-238

Abstract: Our paper investigates the explosive nature of cryptocurrency prices in the backdrop of the COVID-19 pandemic. In this paper, we use the daily prices of six major cryptocurrencies, namely Bitcoin (BTC), Dash (DASH), Ethereum (ETH), Litecoin (LTC), Nem (NEM), and Ripple (XRP), ranging from 07.08.2015 to 16.12.2020. We employ univariate and panel GSADF recursive unit root tests for analytical purposes. Our results identify multiple periods of explosive price movements in the individual cryptocurrencies during the COVID-19 pandemic. Further, we find synchronised explosive behaviour in the prices of cryptocurrencies during the pandemic period. Our results indicate the possibility of herding in the cryptocurrency market.

Keywords: cryptocurrency; digital financial assets; COVID-19; explosive price movements. (search for similar items in EconPapers)
Date: 2023
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