Munich Personal RePEc Archive

Cryptocurrencies responses to the Covid-19 waves

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

[img]
Preview
PDF
MPRA_paper_110843.pdf

Download (187kB) | Preview

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.

Logo of the University Library LMU Munich
MPRA is a RePEc service hosted by
the University Library LMU Munich in Germany.