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Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic

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  • Corbet, Shaen
  • Hou, Yang (Greg)
  • Hu, Yang
  • Larkin, Charles
  • Lucey, Brian
  • Oxley, Les

Abstract

We examine the interactions between cryptocurrency price volatility and liquidity during the outbreak of the COVID-19 pandemic. Evidence suggests that these developing digital products have played a new role as a potential safe-haven during periods of substantial financial market panic. Results suggest that cryptocurrency market liquidity increased significantly after the WHO identification of a worldwide pandemic. Significant and substantial interactions between cryptocurrency price and liquidity effects are identified. These results add further support to the argument that substantial flows of investment entered cryptocurrency markets in search of an investment safe-haven during this exceptional black-swan event.

Suggested Citation

  • Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Larkin, Charles & Lucey, Brian & Oxley, Les, 2022. "Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 45(C).
    • Handle: RePEc:eee:finlet:v:45:y:2022:i:c:s154461232100218x
    DOI: 10.1016/j.frl.2021.102137
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    References listed on IDEAS

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    1. Corbet, Shaen & Hou, Yang & Hu, Yang & Oxley, Les, 2020. "The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry," International Review of Financial Analysis, Elsevier, vol. 72(C).
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