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Crisis And Contagion In Cryptocurrency Market

Author

Listed:
  • Bhavesh Garg

    (Indian Institute of Technology Ropar)

  • Karan Rai

    (Indian Institute of Technology Ropar)

  • Rishabh Pachoriya

    (Indian Institute of Technology Ropar)

  • Manik Thappa

    (Indian Institute of Technology Ropar)

Abstract

The paper examines whether an unanticipated event like the COVID-19 crisis has strengthened the contagion in the cryptocurrency market utilizing samples of data representing the pre-crisis and post-crisis periods. Employing the wavelet coherence and DCC-GARCH(1,1) models, we identify that the cryptocurrency market started integrating from 2018 as volatility within the market reduced. Our main finding is that the cryptocurrency market is highly interconnected and that the contagion strengthened during the crisis period. We draw appropriate policy implications from these findings.

Suggested Citation

  • Bhavesh Garg & Karan Rai & Rishabh Pachoriya & Manik Thappa, 2023. "Crisis And Contagion In Cryptocurrency Market," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(Special I), pages 9-32, February.
    • Handle: RePEc:idn:journl:v:26:y:2023:i:spc:p:9-32
    DOI: https://doi.org/10.59091/1410-8046.2054
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    More about this item

    Keywords

    COVID-19; Cryptocurrency; Wavelet; Contagion.;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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