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Structural Breaks and Co-Movements of Bitcoin and Ethereum: Evidence from the COVID-19 Pandemic Period

Author

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  • Bilgehan Tekin

    (Çankırı Karatekin University, Çankırı, Türkiye)

Abstract

This study examined the structural breakdowns and co-movements of Bitcoin (BTC) and Ethereum (ETH) cryptocurrencies from the onset of the COVID-19 pandemic. The Bai-Perron test was used to determine the change in the mean and variance of the two principal actors regarding market capitalization in the cryptocurrency market. Wavelet coherence analysis was also used to detect the co-movements between BTC and ETH. As a result of the study, several similar breaks were seen in each BTC and ETH series. Only one break could be directly associated with the pandemic process. This means that the pandemic is internalized and normalized in the process. The wavelet coherence results indicate a strong positive dependency (dark warm colours) between BTC and ETH and in phase (in the same direction) in the short and long bandgaps.

Suggested Citation

  • Bilgehan Tekin, 2024. "Structural Breaks and Co-Movements of Bitcoin and Ethereum: Evidence from the COVID-19 Pandemic Period," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 13(2), pages 41-70.
    • Handle: RePEc:cbk:journl:v:13:y:2024:i:2:p:41-70
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    More about this item

    Keywords

    Structural Break; Co-Movement; Cryptocurrency.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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