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Impacts of the global pandemic on returns and volatilities of cryptocurrencies

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Listed:
  • Varun Kumar Rai
  • Vineeta Kumari

Abstract

Employing the standard event study methodology and the OLS market model to examine how the global pandemic announcement impacted cryptocurrencies, we test the null hypotheses that "the global pandemic declaration did not significantly impact the abnormal returns of the cryptocurrencies", and "during the global pandemic declaration, the cryptocurrencies did not experience any significant abnormal volatilities". The average abnormal return on t-2 was nearly minus 40 percent, which is the highest negative value during the 61-day event window. The cumulative average returns are significantly negative during the event window. The global pandemic news has significantly impacted cryptocurrencies and are more volatile during the outbreak. The study's findings will empower the investors to implement proper investment strategies during emergencies.

Suggested Citation

Handle: RePEc:dbs:ijabfi:v:1:y:2021:i:1:p:24-39:id:21
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File URL: https://www.ijabf.in/index.php/IJABF/article/view/21
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