The Impact of the COVID-19 Pandemic on the Volatility of Cryptocurrencies

Sofia Karagiannopoulou, Konstantina Ragazou (), Ioannis Passas, Alexandros Garefalakis and Nikolaos Sariannidis
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Sofia Karagiannopoulou: Department of Accounting and Finance, University of Western Macedonia, GR 50100 Kozani, Greece
Konstantina Ragazou: Department of Accounting and Finance, University of Western Macedonia, GR 50100 Kozani, Greece
Ioannis Passas: Department of Business Administration and Tourism, Hellenic Mediterranean University, GR 71410 Heraklion, Greece
Alexandros Garefalakis: Department of Business Administration, Neapolis University Pafos, Pafos 8042, Cyprus
Nikolaos Sariannidis: Department of Accounting and Finance, University of Western Macedonia, GR 50100 Kozani, Greece

IJFS, 2023, vol. 11, issue 1, 1-17

Abstract: This study aimed to investigate the interactions between Bitcoin to euro, gold, and STOXX50 during the period of COVID-19. First, a bibliometric analysis based on the R package was applied to highlight the research trends in the field during the period of the COVID-19 pandemic. While investigating the effects of the pandemic on Bitcoin, the number of cases of COVID-19 was used as a proxy. Using daily data for the period 1 March 2020 to 3 March 2020 and based on a vector autoregressive model, impulse response, and variance decomposition were utilized to analyze the dynamic relationships among the variables. The results revealed that the COVID-19 cases and gold hurt the exchange rate of Bitcoin to euro, while there was great volatility regarding the response of Bitcoin to a shock of STOXX50. The Granger causality test was constructed to investigate the relationships among the variables. The results show the presence of unidirectional causality running from new cases to STOXX50 and from STOXX50 to gold. This study contributes to the existing scholarly research into the dynamic relationships that appeared among Bitcoin, gold, and STOXX50 in a period of great uncertainty. Finally, the findings have significant implications for investors, who are interested in diversifying their portfolios.

Keywords: Bitcoin; financial markets; volatility; COVID-19; vector autoregressive; impulse response (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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