How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? Evidence from non-parametric causality-in-quantiles techniques
© 2021 Elsevier Inc. All rights reserved..
This research examines the impact of the COVID-19 on cryptocurrencies' connectedness by employing two techniques: TVP-VAR-based connectedness and causality in the quantiles. First, the TVP-VAR-based connectedness unveils that cryptocurrencies act as a net receiver and transmitter of shocks, with Bitcoin, Ethereum are the highest transmitters among others. Moreover, the causality-in-quantile test shows that COVID-19 significantly causes spillover connectedness among cryptocurrencies, mainly at the quantiles ranging from 0.1 to 0.8, while an insignificant causal relationship is found in few cases. The study has implications for investors and policymakers.
| Medienart: |
E-Artikel |
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| Erscheinungsjahr: |
2022 |
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| Erschienen: |
2022 |
| Enthalten in: |
Zur Gesamtaufnahme - volume:47 |
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| Enthalten in: |
Finance research letters - 47(2022) vom: 15. Juni, Seite 102569 |
| Sprache: |
Englisch |
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| Beteiligte Personen: |
Raza, Syed Ali [VerfasserIn] |
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| Links: |
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| Themen: |
COVID-19 |
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| Anmerkungen: |
Date Revised 21.03.2023 published: Print-Electronic Citation Status PubMed-not-MEDLINE |
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| doi: |
10.1016/j.frl.2021.102569 |
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| funding: |
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| Förderinstitution / Projekttitel: |
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| PPN (Katalog-ID): |
NLM349794790 |
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| 520 | |a © 2021 Elsevier Inc. All rights reserved. | ||
| 520 | |a This research examines the impact of the COVID-19 on cryptocurrencies' connectedness by employing two techniques: TVP-VAR-based connectedness and causality in the quantiles. First, the TVP-VAR-based connectedness unveils that cryptocurrencies act as a net receiver and transmitter of shocks, with Bitcoin, Ethereum are the highest transmitters among others. Moreover, the causality-in-quantile test shows that COVID-19 significantly causes spillover connectedness among cryptocurrencies, mainly at the quantiles ranging from 0.1 to 0.8, while an insignificant causal relationship is found in few cases. The study has implications for investors and policymakers | ||
| 650 | 4 | |a Journal Article | |
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| 700 | 1 | |a Msolli, Badreddine |e verfasserin |4 aut | |
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