| bibtype |
J -
Journal Article
|
| ARLID |
0561399 |
| utime |
20230324090214.6 |
| mtime |
20220921235959.9 |
| SCOPUS |
85124077749 |
| WOS |
000772018900021 |
| DOI |
10.1016/j.intfin.2022.101523 |
| title
(primary) (eng) |
Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak |
| specification |
| page_count |
17 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0379526 |
| ISSN |
1042-4431 |
| title
|
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY |
| volume_id |
71 |
| publisher |
|
|
| keyword |
Bitcoin |
| keyword |
Cryptocurrencies |
| keyword |
Returns and volatility spillovers |
| keyword |
Time and frequency connectedness |
| keyword |
COVID-19 outbreak |
| author
(primary) |
| ARLID |
cav_un_auth*0044576 |
| name1 |
Kumar |
| name2 |
A. |
| country |
IN |
|
| author
|
| ARLID |
cav_un_auth*0436659 |
| name1 |
Iqbal |
| name2 |
N. |
| country |
CN |
|
| author
|
| ARLID |
cav_un_auth*0436660 |
| name1 |
Mitra |
| name2 |
S. K. |
| country |
IN |
|
| author
|
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0377616 |
| name1 |
Bouri |
| name2 |
E. |
| country |
LB |
|
| source |
|
| source |
|
| cas_special |
| abstract
(eng) |
The cryptocurrency markets are perceived as being dominated by Bitcoin leading the overall system dynamics. Although the previous empirical evidence points towards strong connections among selected cryptocurrencies or, from the other side, weak dependence between Bitcoin and traditional financial assets, a focused study on the dynamics of return and volatility connected- ness among a wider range of cryptocurrencies is lacking, and more so, one directed towards the very first actual critical period of the global economy coinciding with relevant crypto-markets. Using data for the 10 most capitalized cryptocurrencies between 1st October 2017 and 5th January 2021, we examine how cryptocurrencies interact and whether they have a clear leader, with a special focus on differences with respect to investment horizons and how the relationship structure evolves in time. We uncover a structural change in the connectedness evolving in 2020 as the market restructures in reaction to the unprecedented monetary injections as a counter to the COVID-19-induced economic standstill. The structural change is shown not only for cryptocurrencies considered separately but also when we jointly examine them with traditional assets. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50201 |
| reportyear |
2023 |
| num_of_auth |
5 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0334065 |
| confidential |
S |
| article_num |
101523 |
| mrcbC86 |
1* Article Business Finance|Economics |
| mrcbC91 |
C |
| mrcbT16-e |
BUSINESSFINANCE|ECONOMICS |
| mrcbT16-j |
0.821 |
| mrcbT16-s |
1.031 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q2 |
| arlyear |
2022 |
| mrcbU14 |
85124077749 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000772018900021 WOS |
| mrcbU63 |
cav_un_epca*0379526 JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 1042-4431 1873-0612 Roč. 71 č. 1 2022 Elsevier |
|