Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F22%3A00561399" target="_blank" >RIV/67985556:_____/22:00561399 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/22:10439373
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1042443122000166?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1042443122000166?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.intfin.2022.101523" target="_blank" >10.1016/j.intfin.2022.101523</a>
Alternative languages
Result language
angličtina
Original language name
Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak
Original language description
The cryptocurrency markets are perceived as being dominated by Bitcoin leading the overall system dynamics. Although the previous empirical evidence points towards strong connections among selected cryptocurrencies or, from the other side, weak dependence between Bitcoin and traditional financial assets, a focused study on the dynamics of return and volatility connected- ness among a wider range of cryptocurrencies is lacking, and more so, one directed towards the very first actual critical period of the global economy coinciding with relevant crypto-markets. Using data for the 10 most capitalized cryptocurrencies between 1st October 2017 and 5th January 2021, we examine how cryptocurrencies interact and whether they have a clear leader, with a special focus on differences with respect to investment horizons and how the relationship structure evolves in time. We uncover a structural change in the connectedness evolving in 2020 as the market restructures in reaction to the unprecedented monetary injections as a counter to the COVID-19-induced economic standstill. The structural change is shown not only for cryptocurrencies considered separately but also when we jointly examine them with traditional assets.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY
ISSN
1042-4431
e-ISSN
1873-0612
Volume of the periodical
71
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
17
Pages from-to
101523
UT code for WoS article
000772018900021
EID of the result in the Scopus database
2-s2.0-85124077749