How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? Evidence from non-parametric causality-in-quantiles techniques

【Author】 Raza, Syed Ali; Shah, Nida; Guesmi, Khaled; Msolli, Badreddine

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】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.

【Keywords】COVID-19; Cryptocurrencies; TVP-VAR; Causality-in-quantiles technique

【发表时间】2022 JUN

【收录时间】2022-07-17

【文献类型】理论性文章

【主题类别】

区块链应用-实体经济-医疗领域