Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis

Detalhes bibliográficos
Autor(a) principal: Almeida, Dora
Data de Publicação: 2023
Outros Autores: Dionisio, Andreia, Vieira, Isabel, Ferreira, Paulo
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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spelling 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
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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