Publication detail

Kumar, A. & Kumar Mitra, S. & Bouri, E. & Kristoufek, L.: Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D., Kumar, A.; Kumar Mitra, S.;Bouri, E.
Type: Articles in journals with impact factor
Year: 2022
Number: 0
Published in: Journal of International Financial Markets, Institutions & Money 77:101523 PDF
Publishing place:
Keywords: cryptocurrencies; returns and volatility spillovers; time and frequency connectedness; COVID-19 outbreak
JEL codes:
Suggested Citation:
Abstract: The cryptocurrency markets are perceived as being dominated by Bitcoin leading the overall system dynamics. Although the previous empirical evidence points towards strong connections among selected cryptocurrencies or, from the other side, weak dependence between Bitcoin and traditional financial assets, a focused study on the dynamics of return and volatility connectedness among a wider range of cryptocurrencies is lacking, and more so, one directed towards the very first actual critical period of the global economy coinciding with relevant cryptomarkets. Using data for the 10 most capitalized cryptocurrencies between 1st October 2017 and 5th January 2021, we examine how cryptocurrencies interact and whether they have a clear leader, with a special focus on differences with respect to investment horizons and how the relationship structure evolves in time. We uncover a structural change in the connectedness emerging in 2020 as the market restructures in reaction to the unprecedented monetary injections as a counter to the COVID-19-induced economic standstill both within the cryptocurrencies when treated separately but also among cryptocurrencies and their connectedness with traditional assets.
June 2023


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