High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis

被引：55
作者：
Katsiampa, Paraskevi [1 ]
Yarovaya, Larisa [2 ]
Eba, Damian Zi [3 ]
机构：
[1] Univ Sheffield, Sheffield, S Yorkshire, England
[2] Univ Southampton, Southampton Business Sch, Southampton, Hants, England
[3] Univ Warsaw, Fac Econ Sci, Warsaw, Poland
来源：
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2022年 / 79卷
关键词：
COVID-19; High -frequency co -movements; Bitcoin; Protocols; Cryptocurrencies; CRYPTOCURRENCY; MARKET; TRANSMISSION; INFORMATION; CONTAGION; RETURNS; OIL;
D O I：
10.1016/j.intfin.2022.101578
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we analyse co-movements and correlations between Bitcoin and thirty-one of the most-tradable crypto assets using high-frequency data for the period from January 2019 to December 2020. We apply the Diagonal-BEKK model to data from the pre-COVID and COVID-19 periods, and identify significant changes in patterns of co-movements and correlations during the pandemic period. We also employ the Minimum Spanning Tree (MST) and Planar Maximally Filtered Graph (PMFG) methods to study the changes of the crypto asset network structure after the COVID-19 outbreak. While the influential role of Bitcoin in the digital asset ecosystem has been confirmed, our novel findings reveal that due to recent developments in the blockchain ecosystem, crypto assets that can be categorised as dApps and protocols have become more attractive to investors than pure cryptocurrencies.
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收藏
页数：29
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