High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis

【Author】 Katsiampa, Paraskevi; Yarovaya, Larisa; Eba, Damian Zi

【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

【影响因子】4.217

【Abstract】In this paper, we analyse co-movements and correlations between Bitcoin and thirty-one of the most-tradable crypto assets using high-frequency data for the period from January 2019 to December 2020. We apply the Diagonal-BEKK model to data from the pre-COVID and COVID-19 periods, and identify significant changes in patterns of co-movements and correlations during the pandemic period. We also employ the Minimum Spanning Tree (MST) and Planar Maximally Filtered Graph (PMFG) methods to study the changes of the crypto asset network structure after the COVID-19 outbreak. While the influential role of Bitcoin in the digital asset ecosystem has been confirmed, our novel findings reveal that due to recent developments in the blockchain ecosystem, crypto assets that can be categorised as dApps and protocols have become more attractive to investors than pure cryptocurrencies.

【Keywords】COVID-19; High -frequency co -movements; Bitcoin; Protocols; Cryptocurrencies

【发表时间】2022 JUL

【收录时间】2022-11-01

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币