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Katsiampa, P. orcid.org/0000-0003-0477-6503, Yarovaya, L. and Zięba, D. (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. ISSN 1042-4431
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). |
Keywords: | COVID-19; High-frequency co-movements; Bitcoin; Protocols; Cryptocurrencies |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 04 Aug 2022 07:23 |
Last Modified: | 17 Jan 2024 11:50 |
Status: | Published |
Publisher: | Elsevier BV |
Refereed: | Yes |
Identification Number: | 10.1016/j.intfin.2022.101578 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:189706 |
Available Versions of this Item
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High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis. (deposited 17 Jan 2024 11:49)
- High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis. (deposited 04 Aug 2022 07:23) [Currently Displayed]