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Cryptocurrencies responses to the Covid-19 waves

amri amamou, souhir (2021): Cryptocurrencies responses to the Covid-19 waves.

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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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