Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/22:10439373

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2022

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY

ISSN

1042-4431

e-ISSN

1873-0612

Svazek periodika

71

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

17

Strana od-do

101523

Kód UT WoS článku

000772018900021

EID výsledku v databázi Scopus

2-s2.0-85124077749