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Cryptocurrencies responses to the Covid-19 waves

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  • amri amamou, souhir

Abstract

We investigate in this paper the evolution of the dynamic relationship between Covid-19 cases and cryptocurrency markets. Furthermore, we examine their sensitivity to the second wave period. Using a DCC-garch model, our findings show different sensitivities between cryptocurrency markets to the Covid-19 pandemic. Besides, we emphasize that the sensitivity of transaction volume in the cryptocurrency markets to the number of covid-19 cases is negatively and significantly affected by the second wave of the pandemic. Then, we underline a suspicious perception of the hedging power of the cryptocurrency market in the covid-19 period.

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  • amri amamou, souhir, 2021. "Cryptocurrencies responses to the Covid-19 waves," MPRA Paper 110843, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:110843
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    References listed on IDEAS

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    More about this item

    Keywords

    cryptocurrency markets; Covid-19; second wave period;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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