CRISIS AND CONTAGION IN CRYPTOCURRENCY MARKET

Bhavesh Garg, Karan Rai (), Rishabh Pachoriya () and Manik Thappa ()
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Karan Rai: Indian Institute of Technology Ropar
Rishabh Pachoriya: Indian Institute of Technology Ropar
Manik Thappa: Indian Institute of Technology Ropar

Bulletin of Monetary Economics and Banking, 2023, vol. 26, issue Special Issue, 9-32

Abstract: The paper examines whether an unanticipated event like the COVID-19 crisis has strengthened the contagion in the cryptocurrency market utilizing samples of data representing the pre-crisis and post-crisis periods. Employing the wavelet coherence and DCC-GARCH(1,1) models, we identify that the cryptocurrency market started integrating from 2018 as volatility within the market reduced. Our main finding is that the cryptocurrency market is highly interconnected and that the contagion strengthened during the crisis period. We draw appropriate policy implications from these findings.

Keywords: COVID-19; Cryptocurrency; Wavelet; Contagion. (search for similar items in EconPapers)
JEL-codes: C50 E44 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:26:y:2023:i:spc:p:9-32

DOI: 10.59091/1410-8046.2054

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