Regional COVID-19 cases and Bitcoin volatility: Assessment through the Markov switching prism
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F24%3A63582658" target="_blank" >RIV/70883521:28120/24:63582658 - isvavai.cz</a>
Result on the web
<a href="https://www.ekonomie-management.cz/archiv/search/detail/2139-regional-covid-19-cases-and-bitcoin-volatility-assessment-through-the-markov-switching-prism/" target="_blank" >https://www.ekonomie-management.cz/archiv/search/detail/2139-regional-covid-19-cases-and-bitcoin-volatility-assessment-through-the-markov-switching-prism/</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.15240/tul/001/2024-2-009" target="_blank" >10.15240/tul/001/2024-2-009</a>
Alternative languages
Result language
angličtina
Original language name
Regional COVID-19 cases and Bitcoin volatility: Assessment through the Markov switching prism
Original language description
The 21st century has become the century of technology, which has spread to the currency market, presenting the international economic system with a new challenge – the challenge created by digital currency, which has determined a change in the rules of operation in the market. The main property of cryptocurrencies in general, and Bitcoin in particular, is constant volatility and mutual sensitivity to each other. This article aims to analyze the cryptocurrency market landscape from both short-term and long-term perspectives. Additionally, the article seeks to quantitatively assess the contradictions, trends, and patterns of price volatility in Bitcoin by employing the framework of Markov switching during the period spanning from 2020 to 2022. The Markov switching model was used in the study. In this study, the factors influencing volatility on different modes of the Markov switch are the COVID-19 pandemic and the Pearson correlation statistical method. The Chi-squared test was estimated to identify the connection between Bitcoin volatility switching modes and the COVID-19 pandemic spread. This analysis enables international investors to diversify with maximum efficiency and returns using available hedging tools. However, several open questions remain for future research. Future studies can analyze different cryptocurrencies’ volatility. This research helps to assess the nature of the relationship of cryptocurrencies in statistics (the correlation of cryptocurrencies as of December 1, 2021, when no significant events in the financial market and political upheavals were recorded) and dynamics (the Markov switching models for the post-pandemic period of 2020–2022). The article contributes to understanding the interdependence and sensitivity of different cryptocurrencies in relation to each other.
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
50206 - Finance
Result continuities
Project
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Continuities
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Others
Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
E+M. Ekonomie a Management
ISSN
1212-3609
e-ISSN
2336-5064
Volume of the periodical
27
Issue of the periodical within the volume
2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
20
Pages from-to
142-161
UT code for WoS article
001245554600008
EID of the result in the Scopus database
2-s2.0-85196408555