COVID-19 and cryptocurrency market: Evidence from quantile connectedness

Muhammad Abubakr Naeem, Saba Qureshi, Mobeen Ur Rehman, Faruk Balli

Research output: Contribution to journalArticlepeer-review

44 Citations (Scopus)

Abstract

This study quantifies the spillover effects among seven cryptocurrencies to explore the spillover characteristics of seven cryptocurrencies, namely, Bitcoin, Ethereum, Ripple, Litecoin, Monero, Stellar, and NEM. The connectedness networks of returns are based on standard VAR and quantile VAR spillovers. In addition, the framework focuses on intact, pre-, and post-COVID-19 crisis sub-sample periods. Our results highlight that Bitcoin, Litecoin, and Ripple are the dominant transmitters to return spillover. The strongest interconnection is found for Bitcoin/Litecoin and Ripple/Sellar pair. Interestingly, Ethereum is the unvarying recipient in the system and is influenced by most of the cryptocurrencies. Further, NEM exhibits no connection with any of the cryptocurrency in the network acting as a potential diversifier. The quantile spillovers suggest increased intensity of connectedness at right and left tails. The sub-sample analysis confirms the low network integration across the cryptocurrencies during pre-COVID period. Finally, the post-COVID period indicates tangled clusters across the cryptocurrencies. The analysis provides contrasting results as obtained in the pre-analysis phase. Implications for investors and policymakers are highlighted in the study.

Original languageEnglish
Pages (from-to)280-306
Number of pages27
JournalApplied Economics
Volume54
Issue number3
DOIs
Publication statusPublished - 2022
Externally publishedYes

Keywords

  • COVID-19
  • cryptocurrency market
  • extreme return spillovers
  • quantile connectedness

ASJC Scopus subject areas

  • Economics and Econometrics

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