High-Frequency Connectedness between Bitcoin and Other Top-Traded Crypto Assets during the COVID-19 Crisis

Katsiampa, Paraskevi; Yarovaya, Larisa; Zięba, Damian

doi:10.2139/ssrn.3871405

Cited by 12 publications

(7 citation statements)

References 53 publications

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“…The majority of papers are focused on Bitcoin only as on cryptocurrency markets leader. However, Katsiampa et al (2021) noted that it is important to consider Altcoins in the research since the influential power of various assets in the digital asset ecosystem has been changing over time, which became especially evident during the COVID-19 crisis. Early papers in this field include Kristoufek (2013), who examined the nexus between the search terms on Wikipedia and Google Trends and Bitcoin prices.…”

Section: Literature Reviewmentioning

confidence: 99%

Google Trends and cryptocurrencies: a nonparametric causality-in-quantiles analysis

Raza

Yarovaya

Guesmi

et al. 2022

IJOEM

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PurposeThis article aims to uncover the impact of Google Trends on cryptocurrency markets beyond Bitcoin during the time of increased attention to altcoins, especially during the COVID-19 pandemic.Design/methodology/approachThis paper analyses the nexus among the Google Trends and six cryptocurrencies, namely Bitcoin, New Economy Movement (NEM), Dash, Ethereum, Ripple and Litecoin by utilizing the causality-in-quantiles technique on data comprised of the years January 2016–March 2021.FindingsThe findings show that Google Trends cause the Litecoin, Bitcoin, Ripple, Ethereum and NEM prices at majority of the quantiles except for Dash.Originality/valueThe findings will help investors to develop more in-depth understanding of impact of Google Trends on cryptocurrency prices and build successful trading strategies in a more matured digital assets ecosystem.

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Section: Literature Reviewmentioning

confidence: 99%

Google Trends and cryptocurrencies: a nonparametric causality-in-quantiles analysis

Raza

Yarovaya

Guesmi

et al. 2022

IJOEM

Self Cite

View full text Add to dashboard Cite

show abstract

“…Particularly, analysis of contagion requires the application of more sophisticated techniques and approaches exceeding the analysis of cross-market correlation. In the COVID-19 literature, the term "connectedness" tends to be employed more frequently (e.g., Lin and Su, 2021;So et al, 2021;Hasan et al, 2021;Katsiampa et al, 2021), while the methodological approaches used in these papers could either assess "interconnectedness", i.e. correlation patterns, or "spillover effect", i.e.…”

Section: Defining Contagionmentioning

confidence: 99%

Rethinking Financial Contagion: Information Transmission Mechanism During the COVID-19 Pandemic.

et al. 2020

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Section: Discussionmentioning

confidence: 99%

“…BS also provided new evidence as an important feature of the Bitcoin blockchain but was found to be irrelevant for Ethereum because of its powerful smart contract feature. The contradictory results emphasized that Bitcoin is classified as a payment system, while Ethereum is considered a protocol system (Katsiampa et al, 2021). As cryptocurrency types were hugely developed, the cryptocurrency investor for payment system types should observe the vaccine distribution against COVID-19 as the return relies on this factor.…”

Section: Discussionmentioning

confidence: 99%

COVID-19 full vaccination and blockchain size: empirical evidence from the cryptocurrency market

Havidz

Tiffani

Calvilus

et al. 2022

EMJB

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PurposeThis paper aims to analyse COVID-19 indices and blockchain features on Bitcoin and Ethereum returns, respectively. The authors focus on the most used and owned cryptocurrencies that cover Europe, the US and Asian countries.Design/methodology/approachAn autoregressive distributed lag panel (pooled mean group and mean group) is utilized, and a robustness check is incorporated by using a Random Effect Model and Generalized Method of Moments (GMM).FindingsFour new findings were discovered, including (1) the vaccine confidence index (VCI) pushes economic recovery and increased demand for the Bitcoin market, but the opposite result was interestingly observed from Ethereum; (2) the blockchain features were revealed to be essential to Bitcoin, while they were irrelevant to Ethereum for short-run country-specific results; (3) the hash rate and network difficulty moved inversely during the pandemic; and (4) the government played a significant role in taking action during uncertain times and regarding cryptocurrency policies.Research limitations/implicationsVCI is constructed by the most used vaccine type in our sample countries (i.e. Pfizer), as the data for a specific classification by each type is still unavailable.Practical implicationsProviding an evenly distributed vaccination program primary vaccination series against COVID-19 to the citizens is an essential duty of the government. Bitcoin policymakers and investors should watch the COVID-19 vaccine distributions closely as it will affect its return. Ethereum is emphasized to keep developing its smart contract which appeared to outplay other blockchain features. Cryptocurrency investors should be wise in their investment decisions by analysing the news thoroughly.Social implicationsThis research emphasizes that the success in the roll-out of COVID-19 vaccination requires citizens' willingness to participate and their trust in the vaccine's efficacy. Such self-awareness and self-discipline in society can ultimately empower individuals and stabilise the economy. Nevertheless, the implementation of health protocols is still highly required to prevent the spread of new variants of COVID-19.Originality/valueThis is the first study that attempts to construct a VCI which denotes the confidence derived from the administration of full-dose COVID-19 vaccines (an initial vaccine and a second vaccine). The authors further find the impact on cryptocurrency returns. Next, blockchain size is utilized as a new determinant of cryptocurrencies.

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High-Frequency Connectedness between Bitcoin and Other Top-Traded Crypto Assets during the COVID-19 Crisis

Cited by 12 publications

References 53 publications

Google Trends and cryptocurrencies: a nonparametric causality-in-quantiles analysis

Google Trends and cryptocurrencies: a nonparametric causality-in-quantiles analysis

Rethinking Financial Contagion: Information Transmission Mechanism During the COVID-19 Pandemic.

COVID-19 full vaccination and blockchain size: empirical evidence from the cryptocurrency market

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