Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10174/35615 https://doi.org/Almeida, D., Dionisio, A., Vieira, I, Ferreira, P. (2023) Impact of the COVID-19 Pandemic on Cryptocurrency Markets:A DCCA Analysis. FinTech, 2, 294–310. https://doi.org/10.3390/fintech2020017 https://doi.org/10.3390/fintech2020017 |
Resumo: | Extraordinary events, regardless of their financial or non-financial nature, are a great challenge for financial stability. This study examines the impact of one such occurrence—the COVID- 19 pandemic—on cryptocurrency markets. A detrended cross-correlation analysis was performed to evaluate how the links between 16 cryptocurrencies were changed by this event. Cross-correlation coefficients that were calculated before and after the onset of the pandemic were compared, and the statistical significance of their variation was assessed. The analysis results show that the markets of the assessed cryptocurrencies became more integrated. There is also evidence to suggest that the pandemic crisis promoted contagion, mainly across short timescales (with a few exceptions of non-contagion across long timescales). We conclude that, in spite of the distinct characteristics of cryptocurrencies, those in our sample offered no protection against the financial turbulence provoked by the COVID-19 pandemic, and thus, our study provided yet another example of ‘correlations breakdown’ in times of crisis. |
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Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA AnalysisContagioncryptocurrenciesDCCAintegrationExtraordinary events, regardless of their financial or non-financial nature, are a great challenge for financial stability. This study examines the impact of one such occurrence—the COVID- 19 pandemic—on cryptocurrency markets. A detrended cross-correlation analysis was performed to evaluate how the links between 16 cryptocurrencies were changed by this event. Cross-correlation coefficients that were calculated before and after the onset of the pandemic were compared, and the statistical significance of their variation was assessed. The analysis results show that the markets of the assessed cryptocurrencies became more integrated. There is also evidence to suggest that the pandemic crisis promoted contagion, mainly across short timescales (with a few exceptions of non-contagion across long timescales). We conclude that, in spite of the distinct characteristics of cryptocurrencies, those in our sample offered no protection against the financial turbulence provoked by the COVID-19 pandemic, and thus, our study provided yet another example of ‘correlations breakdown’ in times of crisis.2023-10-27T09:43:32Z2023-10-272023-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/35615https://doi.org/Almeida, D., Dionisio, A., Vieira, I, Ferreira, P. (2023) Impact of the COVID-19 Pandemic on Cryptocurrency Markets:A DCCA Analysis. FinTech, 2, 294–310. https://doi.org/10.3390/fintech2020017http://hdl.handle.net/10174/35615https://doi.org/10.3390/fintech2020017engdora.almeida@uevora.ptandreia@uevora.ptimpvv@uevora.ptpferreira@ipportalegre.ptAlmeida, DoraDionisio, AndreiaVieira, IsabelFerreira, Pauloinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T19:39:26Zoai:dspace.uevora.pt:10174/35615Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:23:59.882062Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis |
title |
Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis |
spellingShingle |
Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis Almeida, Dora Contagion cryptocurrencies DCCA integration |
title_short |
Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis |
title_full |
Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis |
title_fullStr |
Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis |
title_full_unstemmed |
Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis |
title_sort |
Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis |
author |
Almeida, Dora |
author_facet |
Almeida, Dora Dionisio, Andreia Vieira, Isabel Ferreira, Paulo |
author_role |
author |
author2 |
Dionisio, Andreia Vieira, Isabel Ferreira, Paulo |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Almeida, Dora Dionisio, Andreia Vieira, Isabel Ferreira, Paulo |
dc.subject.por.fl_str_mv |
Contagion cryptocurrencies DCCA integration |
topic |
Contagion cryptocurrencies DCCA integration |
description |
Extraordinary events, regardless of their financial or non-financial nature, are a great challenge for financial stability. This study examines the impact of one such occurrence—the COVID- 19 pandemic—on cryptocurrency markets. A detrended cross-correlation analysis was performed to evaluate how the links between 16 cryptocurrencies were changed by this event. Cross-correlation coefficients that were calculated before and after the onset of the pandemic were compared, and the statistical significance of their variation was assessed. The analysis results show that the markets of the assessed cryptocurrencies became more integrated. There is also evidence to suggest that the pandemic crisis promoted contagion, mainly across short timescales (with a few exceptions of non-contagion across long timescales). We conclude that, in spite of the distinct characteristics of cryptocurrencies, those in our sample offered no protection against the financial turbulence provoked by the COVID-19 pandemic, and thus, our study provided yet another example of ‘correlations breakdown’ in times of crisis. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-10-27T09:43:32Z 2023-10-27 2023-01-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10174/35615 https://doi.org/Almeida, D., Dionisio, A., Vieira, I, Ferreira, P. (2023) Impact of the COVID-19 Pandemic on Cryptocurrency Markets:A DCCA Analysis. FinTech, 2, 294–310. https://doi.org/10.3390/fintech2020017 http://hdl.handle.net/10174/35615 https://doi.org/10.3390/fintech2020017 |
url |
http://hdl.handle.net/10174/35615 https://doi.org/Almeida, D., Dionisio, A., Vieira, I, Ferreira, P. (2023) Impact of the COVID-19 Pandemic on Cryptocurrency Markets:A DCCA Analysis. FinTech, 2, 294–310. https://doi.org/10.3390/fintech2020017 https://doi.org/10.3390/fintech2020017 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
dora.almeida@uevora.pt andreia@uevora.pt impvv@uevora.pt pferreira@ipportalegre.pt |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799136722357846016 |