The Impact of the COVID-19 Pandemic on the Volatility of Cryptocurrencies

被引:4
|
作者
Karagiannopoulou, Sofia [1 ]
Ragazou, Konstantina [1 ,2 ]
Passas, Ioannis [3 ]
Garefalakis, Alexandros [2 ,3 ]
Sariannidis, Nikolaos [1 ]
机构
[1] Univ Western Macedonia, Dept Accounting & Finance, GR-50100 Kozani, Greece
[2] Neapolis Univ Pafos, Dept Business Adm, CY-8042 Pafos, Cyprus
[3] Hellen Mediterranean Univ, Dept Business Adm & Tourism, GR-71410 Iraklion, Greece
来源
关键词
Bitcoin; financial markets; volatility; COVID-19; vector autoregressive; impulse response; BITCOIN; GOLD;
D O I
10.3390/ijfs11010050
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This study aimed to investigate the interactions between Bitcoin to euro, gold, and STOXX50 during the period of COVID-19. First, a bibliometric analysis based on the R package was applied to highlight the research trends in the field during the period of the COVID-19 pandemic. While investigating the effects of the pandemic on Bitcoin, the number of cases of COVID-19 was used as a proxy. Using daily data for the period 1 March 2020 to 3 March 2020 and based on a vector autoregressive model, impulse response, and variance decomposition were utilized to analyze the dynamic relationships among the variables. The results revealed that the COVID-19 cases and gold hurt the exchange rate of Bitcoin to euro, while there was great volatility regarding the response of Bitcoin to a shock of STOXX50. The Granger causality test was constructed to investigate the relationships among the variables. The results show the presence of unidirectional causality running from new cases to STOXX50 and from STOXX50 to gold. This study contributes to the existing scholarly research into the dynamic relationships that appeared among Bitcoin, gold, and STOXX50 in a period of great uncertainty. Finally, the findings have significant implications for investors, who are interested in diversifying their portfolios.
引用
收藏
页数:17
相关论文
共 50 条
  • [21] Trading Cryptocurrencies as a Pandemic Pastime: COVID-19 Lockdowns and Bitcoin Volume
    Guzman, Alexander
    Pinto-Gutierrez, Christian
    Trujillo, Maria-Andrea
    MATHEMATICS, 2021, 9 (15)
  • [22] THE ECONOMIC IMPACT OF COVID-19 Adapting to the COVID-19 Pandemic
    Droste, Michael
    Stock, James H.
    AEA PAPERS AND PROCEEDINGS, 2021, 111 : 351 - 355
  • [23] The Impact of COVID-19 on the Volatility of Copper Futures
    Melo-Vega-Angeles, Oscar
    Chuquillanqui-Lichardo, Bryan
    ECONOMIES, 2023, 11 (07)
  • [24] Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting
    Rahman, Mohammad Mazibar
    Guotai, Chi
    Das Gupta, Anupam
    Hossain, Mahmud
    Abedin, Mohammad Zoynul
    ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2022, 35 (01): : 3591 - 3608
  • [25] Forecasting the Volatility of Cryptocurrencies in the Presence of COVID-19 with the State Space Model and Kalman Filter
    Azman, Shafiqah
    Pathmanathan, Dharini
    Thavaneswaran, Aerambamoorthy
    MATHEMATICS, 2022, 10 (17)
  • [26] The impact of misinformation on the COVID-19 pandemic
    Caceres, Maria Mercedes Ferreira
    Sosa, Juan Pablo
    Lawrence, Jannel A.
    Sestacovschi, Cristina
    Tidd-Johnson, Atiyah
    Rasool, Muhammad Haseeb U., I
    Gadamidi, Vinay Kumar
    Ozair, Saleha
    Pandav, Krunal
    Cuevas-Lou, Claudia
    Parrish, Matthew
    Rodriguez, Ivan
    Fernandez, Javier Perez
    AIMS PUBLIC HEALTH, 2022, 9 (02): : 262 - 277
  • [27] The impact of the COVID-19 pandemic on tourism
    Barotsaki, A.
    ARCHIVES OF HELLENIC MEDICINE, 2022, 39 (03): : 412 - 414
  • [28] Impact of COVID-19 Pandemic on Gambling
    Dinu, Bogdan
    Vlad, Ciprian
    Balan, Gabriela
    Luca, Liliana
    Bichescu, Cezar Ionut
    BRAIN-BROAD RESEARCH IN ARTIFICIAL INTELLIGENCE AND NEUROSCIENCE, 2022, 13 (01): : 383 - 387
  • [29] Assessing the impact of the COVID-19 pandemic
    Michie, Jonathan
    INTERNATIONAL REVIEW OF APPLIED ECONOMICS, 2024, 38 (03) : 277 - 279
  • [30] Impact of the COVID-19 pandemic on Easter
    Pavia, Charles S.
    Plummer, Maria M.
    WIENER KLINISCHE WOCHENSCHRIFT, 2022, 134 (9-10) : 420 - 421