Impacts of COVID-19 on the Return and Volatility Nexus among Cryptocurrency Market
The impacts of COVID-19 have spread rapidly to global financial markets. In this context, combining the spillover index method introduced by Diebold and Yilmaz (2012) and the complex network analysis framework, we examined the volatility connectedness and the topological structure among the top ten...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2022/5346080 |
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| _version_ | 1832550880477446144 |
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| author | Xin Sui Guifen Shi Guanchong Hou Shaohan Huang Yanshuang Li |
| author_facet | Xin Sui Guifen Shi Guanchong Hou Shaohan Huang Yanshuang Li |
| author_sort | Xin Sui |
| collection | DOAJ |
| description | The impacts of COVID-19 have spread rapidly to global financial markets. In this context, combining the spillover index method introduced by Diebold and Yilmaz (2012) and the complex network analysis framework, we examined the volatility connectedness and the topological structure among the top ten cryptocurrencies before and during the COVID-19 crisis. The results revealed that the total volatility connectedness of the cryptocurrency market markedly increased following the outbreak of COVID-19; statically, Bitcoin, Ethereum, Cardano, and Bitcoin Cash were the net transmitters before COVID-19, while Bitcoin, Ethereum, Ripple, Litecoin, Cardano, and Stellar became the major net transmitters in the market after COVID-19. Dynamically, the dynamic performance of different cryptocurrencies during the COVID-19 pandemic was heterogeneous, and the possible driving factors are diverse. Moreover, from network analysis, we further found that the COVID-19 crisis has significantly changed the topological structure of the cryptocurrency market. Our findings may help understand the typical dynamics in the cryptocurrency market and provide significant implications for portfolio managers, investors, and government agencies in times of highly stressful events like the COVID-19 crisis. |
| format | Article |
| id | doaj-art-0440f9555c8f4b09b95fd8a568d15930 |
| institution | Kabale University |
| issn | 1099-0526 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-0440f9555c8f4b09b95fd8a568d159302025-02-03T06:05:25ZengWileyComplexity1099-05262022-01-01202210.1155/2022/5346080Impacts of COVID-19 on the Return and Volatility Nexus among Cryptocurrency MarketXin Sui0Guifen Shi1Guanchong Hou2Shaohan Huang3Yanshuang Li4Business School of Northeast Normal UniversityBusiness School of Northeast Normal UniversityBusiness School of Northeast Normal UniversityBusiness School of Northeast Normal UniversitySchool of Applied Finance and Behavioral ScienceThe impacts of COVID-19 have spread rapidly to global financial markets. In this context, combining the spillover index method introduced by Diebold and Yilmaz (2012) and the complex network analysis framework, we examined the volatility connectedness and the topological structure among the top ten cryptocurrencies before and during the COVID-19 crisis. The results revealed that the total volatility connectedness of the cryptocurrency market markedly increased following the outbreak of COVID-19; statically, Bitcoin, Ethereum, Cardano, and Bitcoin Cash were the net transmitters before COVID-19, while Bitcoin, Ethereum, Ripple, Litecoin, Cardano, and Stellar became the major net transmitters in the market after COVID-19. Dynamically, the dynamic performance of different cryptocurrencies during the COVID-19 pandemic was heterogeneous, and the possible driving factors are diverse. Moreover, from network analysis, we further found that the COVID-19 crisis has significantly changed the topological structure of the cryptocurrency market. Our findings may help understand the typical dynamics in the cryptocurrency market and provide significant implications for portfolio managers, investors, and government agencies in times of highly stressful events like the COVID-19 crisis.http://dx.doi.org/10.1155/2022/5346080 |
| spellingShingle | Xin Sui Guifen Shi Guanchong Hou Shaohan Huang Yanshuang Li Impacts of COVID-19 on the Return and Volatility Nexus among Cryptocurrency Market Complexity |
| title | Impacts of COVID-19 on the Return and Volatility Nexus among Cryptocurrency Market |
| title_full | Impacts of COVID-19 on the Return and Volatility Nexus among Cryptocurrency Market |
| title_fullStr | Impacts of COVID-19 on the Return and Volatility Nexus among Cryptocurrency Market |
| title_full_unstemmed | Impacts of COVID-19 on the Return and Volatility Nexus among Cryptocurrency Market |
| title_short | Impacts of COVID-19 on the Return and Volatility Nexus among Cryptocurrency Market |
| title_sort | impacts of covid 19 on the return and volatility nexus among cryptocurrency market |
| url | http://dx.doi.org/10.1155/2022/5346080 |
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