1. Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis
- Author
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Kais Ben-Ahmed, Saliha Theiri, and Naziha Kasraoui
- Subjects
Cryptocurrency ,Volatility ,DCC-GARCH models ,Short-term effect ,Panic coronavirus index ,COVID-19 ,Science (General) ,Q1-390 ,Social sciences (General) ,H1-99 - Abstract
This research examines the impact of the coronavirus index on the returns and volatility of ten major cryptocurrencies during the COVID-19 pandemic. For this purpose, we applied a multivariate volatility GARCH model with an integrated dynamic conditional correlation (DCC) approach to daily cryptocurrency values observed data during the January-December, 2020 period. Moreover, we used the Granger causality test to study return-volume correlations. The findings indicate that cryptocurrency volatility declined after the World Health Organization declared on March 11, 2020, that the coronavirus was a pandemic. Unlike most of the relevant previous studies, we found that the COVID-19 crisis did not have a long-term effect on cryptocurrency returns and volatility but only presented a short-term effect. Our results have implications for investors who need to determine an optimal portfolio for a scenario other than the base.
- Published
- 2023
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