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Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis
- Source :
- Heliyon, Vol 9, Iss 8, Pp e18847- (2023)
- Publication Year :
- 2023
- Publisher :
- Elsevier, 2023.
-
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.
Details
- Language :
- English
- ISSN :
- 24058440
- Volume :
- 9
- Issue :
- 8
- Database :
- Directory of Open Access Journals
- Journal :
- Heliyon
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.05dde22228ee41838fb74290f640357e
- Document Type :
- article
- Full Text :
- https://doi.org/10.1016/j.heliyon.2023.e18847