COVID-19 pandemic improves market signals of cryptocurrencies–evidence from Bitcoin, Bitcoin Cash, Ethereum, and Litecoin

Sarkodıe, Samuel Asumadu; Ahmed, Maruf Yakubu; Owusu, Phebe Asantewaa

doi:10.1016/j.frl.2021.102049

Cited by 76 publications

(58 citation statements)

References 11 publications

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“…Investor sentiment and policy uncertainty factors play a vital role in market signals, driving commodity market ( Sarkodie et al, 2021 ). In this scenario, potential investors and policymakers may closely monitor these factors before investing in the commodity market.…”

Section: Literature Reviewmentioning

confidence: 99%

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

Ahmed

Sarkodıe

2021

Resources Policy

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This paper investigates the switching effect of COVID-19 pandemic and economic policy uncertainty on commodity prices. We employ Markov regime-switching dynamic model to explore price regime dynamics of eight widely traded commodities namely oil, natural gas, corn, soybeans, silver, gold, copper, and steel. We fit two Markov switching regimes to allow parameters to respond to both low and high volatilities. The empirical evidence shows oil, natural gas, corn, soybean, silver, gold, copper, and steel returns adjust to shocks in COVID-19 outcomes and economic policy uncertainty at varying degrees––in both low volatility and high volatility regimes. In contrast, oil and natural gas do not respond to changes in COVID-19 deaths in both regimes. The findings show most commodities are responsive to historical price in terms of demand and supply in both volatility regimes. Our findings further show a high probability that commodity prices will remain in low volatility regime than in high volatility regime––owing to COVID-19-attributed market uncertainties. These findings are useful to both investors and policymakers––as precious metals and agricultural commodities show less negative response to exogenous variables. Thus, investors and portfolio managers could use precious metals, viz. Gold for short-term cover against systematic risks in the market during the period of global pandemic.

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Section: Literature Reviewmentioning

confidence: 99%

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

Ahmed

Sarkodıe

2021

Resources Policy

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“…Since the outbreak of the pandemic in early 2020, sizeable efforts have been devoted to exploring the influence of the pandemic on a variety of assets classes, inter alia , the equity markets ( Corbet et al., 2020 ; Engelhardt et al., 2021 , Zaremba et al., 2021a ), the debt markets ( Zaremba et al., 2021b , A. 2021c ), commodities (e.g., Lin and Su, 2021 ; Sifat et al., 2021 ) and cryptocurrencies (e.g., Sarkodie et al., 2021 ; Wasiuzzaman and Rahman, 2021 ). As the pandemic deepened, governments implemented various health-related programs, economic support plans, and social restrictions in an attempt to ease the adverse impacts of the COVID-19 spread.…”

Section: Introductionmentioning

confidence: 99%

The impact of government interventions on cross-listed securities: Evidence from the COVID-19 pandemic

Aharon

Baig

DeLisle

2022

Finance Research Letters

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“…Vukovic et al (2021) developed a unique COVID-19 global composite index that measures COVID-19 pandemic time-variant movements on each day. Sarkodie et al (2021) investigated the implication of COVID-19 outcomes on market prices of several leading cryptos. Naeem et al (2021) quantified the spillover effects among seven cryptos to explore the spillover characteristics cryptos, and discovered that Bitcoin, Litecoin, and Ripple are the dominant transmitters to return spillover.…”

Section: Introductionmentioning

confidence: 99%

Contrasting Cryptocurrencies with Other Assets: Full Distributions and the COVID Impact

Maasoumi

2021

JRFM

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We investigate any similarity and dependence based on the full distributions of cryptocurrency assets, stock indices and industry groups. We characterize full distributions with entropies to account for higher moments and non-Gaussianity of returns. Divergence and distance between distributions are measured by metric entropies, and are rigorously tested for statistical significance. We assess the stationarity and normality of assets, as well as the basic statistics of cryptocurrencies and traditional asset indices, before and after the COVID-19 pandemic outbreak. These assessments are not subjected to possible misspecifications of conditional time series models which are also examined for their own interests. We find that the NASDAQ daily return has the most similar density and co-dependence with Bitcoin daily return, generally, but after the COVID-19 outbreak in early 2020, even S&P500 daily return distribution is statistically closely dependent on, and indifferent from Bitcoin daily return. All asset distances have declined by 75% or more after the COVID-19 outbreak. We also find that the highest similarity before the COVID-19 outbreak is between Bitcoin and Coal, Steel and Mining industries, and after the COVID-19 outbreak is between Bitcoin and Business Supplies, Utilities, Tobacco Products and Restaurants, Hotels, Motels industries, compared to several others. This study shed light on examining distribution similarity and co-dependence between cryptocurrencies and other asset classes.

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COVID-19 pandemic improves market signals of cryptocurrencies–evidence from Bitcoin, Bitcoin Cash, Ethereum, and Litecoin

Cited by 76 publications

References 11 publications

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

The impact of government interventions on cross-listed securities: Evidence from the COVID-19 pandemic

Contrasting Cryptocurrencies with Other Assets: Full Distributions and the COVID Impact

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