How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? Evidence from non-parametric causality-in-quantiles techniques

Syed Ali Raza; Nida Shah; Khaled Guesmi; Badreddine Msolli

doi:10.1016/j.frl.2021.102569

How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? Evidence from non-parametric causality-in-quantiles techniques

Financ Res Lett. 2022 Jun:47:102569. doi: 10.1016/j.frl.2021.102569. Epub 2021 Nov 21.

Authors

Syed Ali Raza¹, Nida Shah¹, Khaled Guesmi², Badreddine Msolli³

Affiliations

¹ Department of Business Administration, IQRA University, Karachi 75300, Pakistan.
² Center of Research for Energy and Climate Change (CRECC), Paris School of Business, France.
³ ESSCA School of Management, France.

Abstract

This research examines the impact of the COVID-19 on cryptocurrencies' connectedness by employing two techniques: TVP-VAR-based connectedness and causality in the quantiles. First, the TVP-VAR-based connectedness unveils that cryptocurrencies act as a net receiver and transmitter of shocks, with Bitcoin, Ethereum are the highest transmitters among others. Moreover, the causality-in-quantile test shows that COVID-19 significantly causes spillover connectedness among cryptocurrencies, mainly at the quantiles ranging from 0.1 to 0.8, while an insignificant causal relationship is found in few cases. The study has implications for investors and policymakers.

Keywords: COVID-19; Causality-in-quantiles technique; Cryptocurrencies; TVP-VAR.