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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
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    References listed on IDEAS

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    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

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