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
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