EconPapers    
Economics at your fingertips  
 

Regime specific spillover across cryptocurrencies and the role of COVID-19

Syed Jawad Hussain Shahzad (), Elie Bouri (), Sang Hoon Kang () and Tareq Saeed ()
Additional contact information
Elie Bouri: Lebanese American University
Sang Hoon Kang: Pusan National University
Tareq Saeed: King Abdulaziz University

Financial Innovation, 2021, vol. 7, issue 1, 1-24

Abstract: Abstract The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous variables (VARX) model to a daily dataset from 25-July-2016 to 1-April-2020. The results indicate various patterns of spillover in high and low volatility regimes, especially during the COVID-19 outbreak. The total spillover index varies with time and abruptly intensifies following the outbreak of COVID-19, especially in the high volatility regime. Notably, the network analysis reveals further evidence of much higher spillovers in the high volatility regime during the COVID-19 outbreak, which is consistent with the notion of contagion during stress periods.

Keywords: Regime-switching; Volatility regimes; Spillovers; Connectedness; Cryptocurrencies; COVID-19 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1186/s40854-020-00210-4 Abstract (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00210-4

Ordering information: This journal article can be ordered from
http://www.springer. ... nomics/journal/40589

DOI: 10.1186/s40854-020-00210-4

Access Statistics for this article

Financial Innovation is currently edited by J. Leon Zhao and Zongyi

More articles in Financial Innovation from Springer, Southwestern University of Finance and Economics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2021-09-24
Handle: RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00210-4