IDEAS home Printed from https://ideas.repec.org/a/erh/journl/v16y2024i2p148-171.html
   My bibliography  Save this article

Are the Crypto Markets Shock Resilient to COVID-19? A Comparative Investigation of Trading Prices and Volumes

Author

Listed:
  • Asad Ul Islam

    (Department of Economics, Ibn Haldun University, Istanbul, Turkiye)

  • William Bwando

    (Department of Economics, Ibn Haldun University, Istanbul, Turkiye)

Abstract

The aim of this study is to explore and investigate empirically the impact of Covid-19 pandemic on price and volume dynamics in crypto markets. The study makes use of two data samples, but these samples are analyzed separately and independently. The first sample consists of top five crypto currencies in terms of market capitalization (Bitcoin, Ethereum, XRP, Binance coin and Litecoin) as of 7 November 2020. The second one is made up of the bottom five crypto currencies among the top 40 crypto currencies (FTX Token, Huobi Token, Filecoin, Dash and Decreed) as of 7 November 2020 again. The data among the top five crypto currencies ranges from 2014 to 2021 and the data among the bottom five crypto currencies ranges from 2018 to 2021. The empirical analysis confirms presence of compelling evidence for intra-and-inter long run relationship between price and volume dynamics within the crypto market irrespective of whether it is pre-pandemic or pandemic period. More so, there is convincing evidence from the results that much of the variance among the prices and volumes of the top five crypto currencies is attributed to the Bitcoin price-volume dynamics.

Suggested Citation

  • Asad Ul Islam & William Bwando, 2024. "Are the Crypto Markets Shock Resilient to COVID-19? A Comparative Investigation of Trading Prices and Volumes," International Econometric Review (IER), Econometric Research Association, vol. 16(2), pages 148-171, December.
    • Handle: RePEc:erh:journl:v:16:y:2024:i:2:p:148-171
    as

    Download full text from publisher

    File URL: https://dergipark.org.tr/en/download/article-file/3900372
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Crypto currencies; Cointegration; VECM; Covid-19; resilience;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:erh:journl:v:16:y:2024:i:2:p:148-171. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: M. F. Cosar (email available below). General contact details of provider: https://edirc.repec.org/data/eratrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.