High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis
High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis
In this paper, we analyse co-movements and correlations between Bitcoin and thirty-one of the most-tradable crypto assets using high-frequency data for the period from January 2019 to December 2020. We apply the Diagonal-BEKK model to data from the pre-COVID and COVID-19 periods, and identify significant changes in patterns of co-movements and correlations during the pandemic period. We also employ the Minimum Spanning Tree (MST) and Planar Maximally Filtered Graph (PMFG) methods to study the changes of the crypto asset network structure after the COVID-19 outbreak. While the influential role of Bitcoin in the digital asset ecosystem has been confirmed, our novel findings reveal that due to recent developments in the blockchain ecosystem, crypto assets that can be categorised as dApps and protocols have become more attractive to investors than pure cryptocurrencies.
Bitcoin, COVID-19, Cryptocurrencies, High-frequency co-movements, Protocols
Katsiampa, Paraskevi
d520c14e-f0ef-4e97-b036-8cfe776ae70a
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Zięba, Damian
573b2a9a-d67c-41e6-8e60-fa99000aea0f
21 July 2022
Katsiampa, Paraskevi
d520c14e-f0ef-4e97-b036-8cfe776ae70a
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Zięba, Damian
573b2a9a-d67c-41e6-8e60-fa99000aea0f
Katsiampa, Paraskevi, Yarovaya, Larisa and Zięba, Damian
(2022)
High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis.
Journal of International Financial Markets, Institutions and Money, 79, [101578].
(doi:10.1016/j.intfin.2022.101578).
Abstract
In this paper, we analyse co-movements and correlations between Bitcoin and thirty-one of the most-tradable crypto assets using high-frequency data for the period from January 2019 to December 2020. We apply the Diagonal-BEKK model to data from the pre-COVID and COVID-19 periods, and identify significant changes in patterns of co-movements and correlations during the pandemic period. We also employ the Minimum Spanning Tree (MST) and Planar Maximally Filtered Graph (PMFG) methods to study the changes of the crypto asset network structure after the COVID-19 outbreak. While the influential role of Bitcoin in the digital asset ecosystem has been confirmed, our novel findings reveal that due to recent developments in the blockchain ecosystem, crypto assets that can be categorised as dApps and protocols have become more attractive to investors than pure cryptocurrencies.
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Accepted/In Press date: 15 May 2022
e-pub ahead of print date: 20 May 2022
Published date: 21 July 2022
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Publisher Copyright:
© 2022 The Author(s)
Keywords:
Bitcoin, COVID-19, Cryptocurrencies, High-frequency co-movements, Protocols
Identifiers
Local EPrints ID: 468031
URI: http://eprints.soton.ac.uk/id/eprint/468031
ISSN: 1042-4431
PURE UUID: 652f3a58-0ccd-4bf7-a8b3-6d7c1677729d
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Date deposited: 28 Jul 2022 16:42
Last modified: 17 Mar 2024 03:54
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Author:
Paraskevi Katsiampa
Author:
Damian Zięba
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