Dynamic Linkages Among Cryptocurrencies - The Role of COVID-19

Abhishek Sah and Biswajit Patra ()
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Biswajit Patra: Economic Sciences, Indian Institute of Science Education and Research Bhopal, India

Asian Economics Letters, 2023, vol. 4, issue 2, 1-6

Abstract: This paper investigates the impact of COVID-19 on the cryptocurrency market. It empirically examines the level of volatility and the dynamic conditional correlations among cryptocurrencies pre-COVID-19 and during COVID-19. We find significant dynamic conditional correlations among cryptocurrencies and that the level of volatility is higher during COVID-19 than pre-COVID-19.

Keywords: Cryptocurrency; DCC-GARCH; COVID-19 (search for similar items in EconPapers)
JEL-codes: C58 E44 I10 (search for similar items in EconPapers)
Date: 2023
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