The Impact of the COVID-19 Pandemic on the Volatility of Cryptocurrencies

This study aimed to investigate the interactions between Bitcoin to euro, gold, and STOXX50 during the period of COVID-19. First, a bibliometric analysis based on the R package was applied to highlight the research trends in the field during the period of the COVID-19 pandemic. While investigating t...

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Bibliographic Details
Published in:International journal of financial studies 2023-03, Vol.11 (1), p.50
Main Authors: Karagiannopoulou, Sofia, Ragazou, Konstantina, Passas, Ioannis, Garefalakis, Alexandros, Sariannidis, Nikolaos
Format: Article
Language:English
Subjects:
Analysis
Bibliometrics
Bitcoin
Black swan event
Central banks
China
Coronaviruses
COVID-19
Crypto-currencies
Digital currencies
Diversification
Epidemics
financial markets
Gold
Hedging
impulse response
Investments
Medical research
Pandemics
Precious metals
Prices
Securities markets
Stock exchanges
vector autoregressive
Volatility
Wang Bo
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Summary:This study aimed to investigate the interactions between Bitcoin to euro, gold, and STOXX50 during the period of COVID-19. First, a bibliometric analysis based on the R package was applied to highlight the research trends in the field during the period of the COVID-19 pandemic. While investigating the effects of the pandemic on Bitcoin, the number of cases of COVID-19 was used as a proxy. Using daily data for the period 1 March 2020 to 3 March 2020 and based on a vector autoregressive model, impulse response, and variance decomposition were utilized to analyze the dynamic relationships among the variables. The results revealed that the COVID-19 cases and gold hurt the exchange rate of Bitcoin to euro, while there was great volatility regarding the response of Bitcoin to a shock of STOXX50. The Granger causality test was constructed to investigate the relationships among the variables. The results show the presence of unidirectional causality running from new cases to STOXX50 and from STOXX50 to gold. This study contributes to the existing scholarly research into the dynamic relationships that appeared among Bitcoin, gold, and STOXX50 in a period of great uncertainty. Finally, the findings have significant implications for investors, who are interested in diversifying their portfolios.
ISSN:2227-7072
2227-7072
DOI:10.3390/ijfs11010050