How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? Evidence from non-parametric causality-in-quantiles techniques

被引：23

作者：

Raza, Syed Ali ^{[1
]}

Shah, Nida ^{[1
]}

Guesmi, Khaled ^{[2
]}

Msolli, Badreddine ^{[3
]}

机构：

[1] IQRA Univ, Dept Business Adm, Karachi 75300, Pakistan

[2] Paris Sch Business, Ctr Res Energy & Climate Change GREGG, Paris, France

[3] ESSCA Sch Management, Angers, France

来源：

FINANCE RESEARCH LETTERS | 2022年 / 47卷

关键词：

COVID-19; Cryptocurrencies; TVP-VAR; Causality-in-quantiles technique; UNCERTAINTY;

D O I：

10.1016/j.frl.2021.102569

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This research examines the impact of the COVID-19 on cryptocurrencies' connectedness by employing two techniques: TVP-VAR-based connectedness and causality in the quantiles. First, the TVP-VAR-based connectedness unveils that cryptocurrencies act as a net receiver and transmitter of shocks, with Bitcoin, Ethereum are the highest transmitters among others. Moreover, the causality-in-quantile test shows that COVID-19 significantly causes spillover connectedness among cryptocurrencies, mainly at the quantiles ranging from 0.1 to 0.8, while an insignificant causal relationship is found in few cases. The study has implications for investors and policymakers.

引用

页数：9

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