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An enquiry into extreme price movements of the cryptocurrencies in the backdrop of COVID-19

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  • Suvvari ANANDARAO

    (Institute of Management Technology, Hyderabad, India)

  • Balaga Mohana RAO

    (Indian Institute of Technology, Dharward, India)

  • Anoop S KUMAR

    (Gulati Institute of Finance and Taxation, Thiruvananthapuram, India)

Abstract

Our paper investigates the explosive nature of cryptocurrency prices in the backdrop of the COVID-19 pandemic. In this paper, we use the daily prices of six major cryptocurrencies, namely Bitcoin (BTC), Dash (DASH), Ethereum (ETH), Litecoin (LTC), Nem (NEM), and Ripple (XRP), ranging from 07.08.2015 to 16.12.2020. We employ univariate and panel GSADF recursive unit root tests for analytical purposes. Our results identify multiple periods of explosive price movements in the individual cryptocurrencies during the COVID-19 pandemic. Further, we find synchronised explosive behaviour in the prices of cryptocurrencies during the pandemic period. Our results indicate the possibility of herding in the cryptocurrency market.

Suggested Citation

  • Suvvari ANANDARAO & Balaga Mohana RAO & Anoop S KUMAR, 2023. "An enquiry into extreme price movements of the cryptocurrencies in the backdrop of COVID-19," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(635), S), pages 231-238, Summer.
    • Handle: RePEc:agr:journl:v:2(635):y:2023:i:2(635):p:231-238
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    References listed on IDEAS

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