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Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak
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SYSNO ASEP 0561399 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak Author(s) Kumar, A. (IN)
Iqbal, N. (CN)
Mitra, S. K. (IN)
Krištoufek, Ladislav (UTIA-B) RID, ORCID
Bouri, E. (LB)Number of authors 5 Article number 101523 Source Title JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY. - : Elsevier - ISSN 1042-4431
Roč. 71, č. 1 (2022)Number of pages 17 s. Publication form Print - P Language eng - English Country NL - Netherlands Keywords Bitcoin ; Cryptocurrencies ; Returns and volatility spillovers ; Time and frequency connectedness ; COVID-19 outbreak Subject RIV AH - Economics OECD category Economic Theory Method of publishing Limited access Institutional support UTIA-B - RVO:67985556 UT WOS 000772018900021 EID SCOPUS 85124077749 DOI 10.1016/j.intfin.2022.101523 Annotation 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 connected- ness 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 crypto-markets. 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 evolving in 2020 as the market restructures in reaction to the unprecedented monetary injections as a counter to the COVID-19-induced economic standstill. The structural change is shown not only for cryptocurrencies considered separately but also when we jointly examine them with traditional assets. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2023 Electronic address https://www.sciencedirect.com/science/article/pii/S1042443122000166?via%3Dihub
Number of the records: 1