Are the Crypto Markets Shock Resilient to COVID-19? A Comparative Investigation of Trading Prices and Volumes

Asad Ul Islam () and William Bwando ()
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Asad Ul Islam: Department of Economics, Ibn Haldun University, Istanbul, Turkiye
William Bwando: Department of Economics, Ibn Haldun University, Istanbul, Turkiye

International Econometric Review (IER), 2024, vol. 16, issue 2, 148-171

Abstract: The aim of this study is to explore and investigate empirically the impact of Covid-19 pandemic on price and volume dynamics in crypto markets. The study makes use of two data samples, but these samples are analyzed separately and independently. The first sample consists of top five crypto currencies in terms of market capitalization (Bitcoin, Ethereum, XRP, Binance coin and Litecoin) as of 7 November 2020. The second one is made up of the bottom five crypto currencies among the top 40 crypto currencies (FTX Token, Huobi Token, Filecoin, Dash and Decreed) as of 7 November 2020 again. The data among the top five crypto currencies ranges from 2014 to 2021 and the data among the bottom five crypto currencies ranges from 2018 to 2021. The empirical analysis confirms presence of compelling evidence for intra-and-inter long run relationship between price and volume dynamics within the crypto market irrespective of whether it is pre-pandemic or pandemic period. More so, there is convincing evidence from the results that much of the variance among the prices and volumes of the top five crypto currencies is attributed to the Bitcoin price-volume dynamics.

Keywords: Crypto currencies; Cointegration; VECM; Covid-19; resilience (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2024
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